摘要
研究最小化保险公司破产概率的最优多期比例再保险策略,给出了保险公司最小破产概率的一个递归表达式,证明了可用动态规划方法求解此类问题.在此基础上,我们推导出最优多期比例再保险策略的几个必要条件.
This paper is concerned with the optimal multi-period proportional reinsurance strategy that minimizes the ruin probability of the insurer. It is shown that the minimal ruin probability is expressed inductively, and that the dynamic programming approach can be used to solve this problem. Furthermore, several necessary conditions of the optimal multi-period proportional reinsurance strategy are derived.
出处
《系统科学与数学》
CSCD
北大核心
2008年第11期1354-1362,共9页
Journal of Systems Science and Mathematical Sciences
基金
国家杰出青年科学基金(70825002)
国家自然科学基金(70518001)资助项目.
关键词
离散风险过程
破产概率
最优再保险策略
必要条件
动态规划.
Discrete-time risk process, ruin probability, optimal reinsurance strategy,necessary condition, dynamic programming.
