摘要
研究带干扰的经典风险模型的最优分红和注资策略问题。在带最小盈余约束的情况下以股东的折现分红减去惩罚折现注资的差的期望值最大化为目标,利用随机控制理论建立相应的HJB方程,最终得到相应的解及最优分红策略。
The optimal dividend and capital injection of the classical risk model with disturbance was researched.In the presence of minimum surplus constraints,the expected value of the shareholders discounted dividend minus the penalized discounted capital injections was maximized.The corresponding HamiltonJacobi-Bellman equation was constructed by using the stochastic control theory and finally the solution to the HJB equation and the optimal dividend strategy were obtained.
出处
《甘肃科学学报》
2015年第2期19-24,共6页
Journal of Gansu Sciences
基金
陕西省教育科学"十二五"规划课题(SGH13406)
商洛学院科研项目(10SKY1008)
商洛学院教改项目(13jyjx118)
关键词
分红
注资
随机控制
HJB方程
Dividend
Capital injection
Stochastic control
Hamilton-Jacobi-Bellman equation