摘要
为了解决多险种同时索赔并伴有相依情况的最优再保险问题.建立了相依风险模型,分别在期望保费原理和CVaR保费原理下通过求解HJB方程,得到了最优再保险问题的显式解,从而解决了相依情况下的最优再保险问题.
We consider the optimal reinsurance problem,which allows for solving multiple risks and stimultaneous claims and dependence structure. This paper presents dependence risk model. The display solution of the optimal reinsurance problem are derived under the principle of expected premium and CVaR premiun respectively by solving the HJB equation.Futhermore, we solve the optimal reinsurance problem based on dependence structure.
作者
王春霞
吴黎军
WANG Chun-xia;WU Li-jun(College of Mathematics and System Sciences, Xinjiang University, Urumqi 830001, China)
出处
《数学的实践与认识》
北大核心
2019年第10期194-201,共8页
Mathematics in Practice and Theory
基金
国家自然科学基金(11361058,11861064)
关键词
相依风险模型
盈余过程
HJB方程
再保险
dependent risk model
the surplus process
HJB equation
reinsurance
