比例再保险模型的最优控制策略研究

Research on optimal control policy of proportional reinsurance model

在对一类带分红过程的比例再保险模型进行分析的过程中,不但把保险公司与再保公司在交易过程中需支付的交易费用考虑进去,而且还考虑了公司破产时的补偿值这一重要因素,以此为基础建立了一种新的模型,从而弥补了传统模型的不足.为使公司获得最大的风险回报,针对不同的市场参数,对此新模型进行了详尽的技术分析,给出了不同情形下所应采取的最优控制策略,得出了相应的最大风险回报函数.

This paper discusses a class of proportional reinsurance model with dividend process. We not only consider the transaction costs that must be paid for the reinsurance company by the insurance company, but also consider the important factor of penalty value when the company is bankrupt. On the basis of these, we construct a new model, so that the traditional model is improved greatly. Furthermore, in order to achieve the maximal risk return, we analyze the different market parameters in detail. Corresponding to the different parameters, we also provide their optimal policies and maximal risk returns.