In this paper,we investigate a model for an insurance company with constraint on risk control.The objective of the insurer is to find a business policy and a dividend payment scheme so as to maximize the expected disc...In this paper,we investigate a model for an insurance company with constraint on risk control.The objective of the insurer is to find a business policy and a dividend payment scheme so as to maximize the expected discounted value of dividend payment,and the expected present value of an amount which the insurer earns until the time of ruin.By solving the constrained Hamilton-Jacobi-Bellman equation,we obtain the explicit expression for value function and the corresponding optimal strategies.展开更多
基金Supported by the National Natural Science Foundation of China (10671149)
文摘In this paper,we investigate a model for an insurance company with constraint on risk control.The objective of the insurer is to find a business policy and a dividend payment scheme so as to maximize the expected discounted value of dividend payment,and the expected present value of an amount which the insurer earns until the time of ruin.By solving the constrained Hamilton-Jacobi-Bellman equation,we obtain the explicit expression for value function and the corresponding optimal strategies.
