In this paper,we build an optimal control model with the objective to maximize the expected value of the time discount utility by selecting optimal investment,liability and dividend strategies for insurance companies....In this paper,we build an optimal control model with the objective to maximize the expected value of the time discount utility by selecting optimal investment,liability and dividend strategies for insurance companies.We then use the techniques from Merton(J Econ Theory 3(4):373–413,1971)to solve our optimal control problem and deduce the optimal control solutions.Finally,we analyze the economic impacts on the optimal controls of the parameters in insurance market.展开更多
基金This work was supported by the National Natural Sciences Foundation of China(Nos.71573143 and 61673225)This work was also supported by the Fundamental Research Funds for the Central Universities.
文摘In this paper,we build an optimal control model with the objective to maximize the expected value of the time discount utility by selecting optimal investment,liability and dividend strategies for insurance companies.We then use the techniques from Merton(J Econ Theory 3(4):373–413,1971)to solve our optimal control problem and deduce the optimal control solutions.Finally,we analyze the economic impacts on the optimal controls of the parameters in insurance market.
