伽玛过程模型下保险公司的最优分红再保险问题
The Optimal Dividend and Reinsurance Problems of an Insurance Company in a Gamma Process Model
摘要
研究了盈余过程是伽玛过程的保险公司的最优分红和最优再保险问题.由于伽玛模型下相应的HJB方程很难解出确切的结果,因此采用了尺度函数来表达分红问题的值函数,引入了粘性解来证明于再保险问题的最优值函数的存在唯一性.
The optimal dividend and reinsurance policies in a Gamma process model are studied. The corresponding HJB equation which is different from that in drifted BM model is hard to solve explicitly.Scale function is applied to express the value function of the dividend problem. Viscosity solution is introduced to prove the existence and the uniqueness of the value function of the reinsurance problem.
出处
《南开大学学报（自然科学版）》
CAS
CSCD
北大核心
2016年第4期16-21,共6页
Acta Scientiarum Naturalium Universitatis Nankaiensis
基金
国家自然科学基金(11471171)
关键词
伽玛过程
最优分红再保险策略
尺度函数
粘性解.
Gamma process
optimal dividend and reinsurance policies
scale function
viscosity solution
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