期刊文献+

基于交易费用的最优比例再保险和投资最大化边界红利

下载PDF
导出
摘要 本文在固定分红边界下,研究了最大化期望折现红利下的最优投资和再保险策略。本文假设保险公司可以通过再保险来减小风险,假设保险公司可以在金融市场上投资,金融市场由一个无风险资产和n风险资产组成,在买卖风险资产时,考虑交易费用,通过解决相应的HJB方程,得到了最优投资和再保险策略及最优期望折现红利。
作者 杨鹏
机构地区 西京学院基础部
出处 《商业时代》 北大核心 2013年第6期83-84,共2页 Commercial
基金 陕西省自然科学基金(12JK1077)资助 西京学院校级科研项目:XJ120106 XJ120109
  • 相关文献

参考文献8

  • 1De Finetti.Su un'impostazione ahernativa dell teoria colletiva del rischio [J]. Transactions of the XV International Con- gress of Actuaries, 1957(2).
  • 2Asmussen S. and Taksar M.Controlled difusion models for optimal dividend pay-out. Imurance: Mathematics and Economics,1997,20.
  • 3Hojgaard B,Taksar M.ControUing risk exposure and dividend pay-out scemes: In- surance company example [J]?Mathematical Finance, 1999(9).
  • 4林祥,杨鹏.扩散风险模型下再保险和投资对红利的影响[J].经济数学,2010,27(1):1-8. 被引量:9
  • 5Xu G.L. and Shreve S.E. A duality methods for optimal consumption and in- vestment under short-selling prohibition: II constant market coefficients, The Annals of Applied Probability,1992,2.
  • 6Fleming W.H.Soner H.M. Controlled markove processes and viscosity solutions[M]. New York: Springer Verlag,1993.
  • 7Yang Hailiang,Zhang Lihong.Opti- mal investment for insurer with jump-dif- fusion risk process.Insurance: Mathematics and Economics 2005,37.
  • 8杨鹏,林祥.带交易费用的最优投资和比例再保险[J].经济数学,2011,28(2):29-33. 被引量:6

二级参考文献23

  • 1DE FINETTI B. Su un'impostazione alternativa dell teoria colletiva del rischio[J]. Transactions of the ⅩⅤ International Congress of Actuaries,1957, 2:433-443.
  • 2BUHLMANN H. Mathematical Methods in Risk Theory[M]. New York: Springer-Verlag, 1970.
  • 3GERBER H U. Games of econimic survival with discrete and continuous income processes[J]. Operations Research 1972,20:37-45.
  • 4ASMUSSEN S, TAKSAR M. Controlled diffusion models for optimal dividend pay-out[J]. Insurance: Mathematics and Economics, 1997,20:1-15.
  • 5DICKSON D C M, WATERS H R. Some optimal dividend problems[J]. ASTIN Bulletin, 2004,34:49-74.
  • 6ALBRECHER H, HARTINGER J, TICHY, R. On the distribution of dividend payments and the discounted penalty function in a risk model with liner dividend barrier[J]. Scandinavian Actuarial Journal, 2005,2:103-126.
  • 7LIN X S, WILLMOT G E, DREKIC S. The classical risk model with a constant dividend barrier[J]. Insurance: Mathematics and Economics,2003,33:551-566.
  • 8GERBER H U, SHIU E S W. Optimal dividends: Analysis with Brownian motion[J]. North American Actuarial Journal, 2004,8 : 1 - 20.
  • 9LI S L. The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion[J]. Scandinavian Actuarial Journal, 2006,2 : 73- 85.
  • 10BROWNE S. Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin[J]. Mathematics Methods Operator Research, 1995,20: 937- 957.

共引文献13

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部