摘要
本文研究了在股票价格服从几何布朗运动的假设下,原保公司考虑再保险时的最优投资问题.运用动态规划和鞅方法,得到了一般最优控制问题所满足的HJB方程以及该方程的识别定理,并分别对比例再保险和超额再保险做了详细分析.
The optimal investment strategy with the general reinsurance strategy of the original insurance company is considered when the stock price is modeled by geometric Brownian motion.By using the dynamic programming and the martingale principle,we obtain the HJB equation of the optimal control and its the verification theorem and analyze the examples of proportional reinsurance and excess of loss reinsurance.
出处
《数学杂志》
CSCD
北大核心
2012年第4期686-692,共7页
Journal of Mathematics
基金
河南省科技厅软科学项目(102400440050)
关键词
破产概率
HJB方程
比例再保险
ruin probability
HJB equation
proportional reinsurance
