具有停止损失再保险策略和最终值的扩散模型的最优分红与注资问题（英文）

OPTIMAL DIVIDEND AND FINANCING PROBLEMS FOR A DIFFUSION MODEL WITH EXCESS-OF-LOSS REINSURANCE STRATEGY AND TERMINAL VALUE

本文研究了具有停止损失再保险和最终值的最优分红和融资策略问题.通过运用近似扩散和动态规划及构造次最优问题的方法,得到了解决一般最优问题所应符合的HJB方程和验证定理.假设有比例和固定交易费用以及在破产时刻产生最终值,得到了相应的最优值函数,最优分红策略,再保险策略以及融资策略.

In this paper,we investigate the optimal dividend andˉnancing policies problems with excess-of-loss reinsurance and a terminal value.In our model,by using approximate di?usion and dynamic programming and constructing of suboptimal problems,we obtain the HJB equation satisˉed the general optimal problem and veriˉcation theorem.Assuming the proportional andˉxed transaction costs and the terminal value at bankruptcy,we get the optimal value function,the optimal dividend policy,the optimal reinsurance strategy and the optimalˉnance strategy.