摘要
研究存在模型风险时保险公司的最优投资-再保-注资-有界分红的策略问题.在分红与注资之差的总量现值的期望最大化的准则下,使用随机微分博弈理论建立保险公司的随机微分博弈,通过求解Hamilton-Jacobi-Bellman-Isaacs方程得到最优投资-再保-注资-有界分红策略的显式解,采用数值算例分析验证了本研究所提策略的合理性.
To better reflect the insurance practice and help insurance company make more robust strategy,we investigate the optimal investment-reinsurance-capital injection-barrier dividend problem when model risk exists.Based on the criterion of maximizing the expected total present value of the difference between barrier dividend and capital injection,the stochastic differential game model is utilized based on stochastic differential game principle,and the optimal policy is obtained by solving the Hamilton-Jacobi-Bellman-Isaacs（ HJBI） equation. The closed-form optimal investment-reinsurance-capital injection-barrier dividend strategies are derived. The economic analyses illustrate the reasonableness of the obtained theoretical results.
作者
孙宗岐
刘宣会
陈思源
冀永强
娄建军
Sun Zongqi Liu Xuanhui Chen Siyuan Ji Yongqiang Lou Jianjun(） Department of Mathematics, Xi＇an Siyuan University, Xi＇an 710038, Shaanxi Province, P. R. China ） College of Science, Xi＇ an Polytechnic University, Xi＇an 710048, Shaanxi Province, P. R. China)
出处
《深圳大学学报（理工版）》
EI
CAS
CSCD
北大核心
2017年第4期364-371,共8页
Journal of Shenzhen University(Science and Engineering)
基金
国家自然科学基金资助项目(71371152)
陕西省教育厅自然科学专项基金资助项目(2016JK2150)
西安思源学院2016年度科研基金资助项目(XASY-B1617)~~
