In this paper, we consider the optimal risk sharing problem between two parties in the insurance business: the insurer and the insured. The risk is allocated between the insurer and the insured by setting a deductible...In this paper, we consider the optimal risk sharing problem between two parties in the insurance business: the insurer and the insured. The risk is allocated between the insurer and the insured by setting a deductible and coverage in the insurance contract. We obtain the optimal deductible and coverage by considering the expected product of the two parties' utilities of terminal wealth according to stochastic optimal control theory. An equilibrium policy is also derived for when there are both a deductible and coverage;this is done by modelling the problem as a stochastic game in a continuous-time framework. A numerical example is provided to illustrate the results of the paper.展开更多
To investigate the equilibrium relationships between the volatility of capital and income, taxation, and ance in a stochastic control model, the uniqueness of the solution to this model was proved by using the method ...To investigate the equilibrium relationships between the volatility of capital and income, taxation, and ance in a stochastic control model, the uniqueness of the solution to this model was proved by using the method of dynamic programming under the introduction of distributive disturbance and elastic labor supply. Furthermore, the effects of two types of shocks on labor-leisure choice, economic growth rate and welfare were numerically analyzed, and then the optimal tax policy was derived.展开更多
This paper considers a model of an insurance company which is allowed to invest a risky asset and to purchase proportional reinsurance. The objective is to find the policy which maximizes the expected total discounted...This paper considers a model of an insurance company which is allowed to invest a risky asset and to purchase proportional reinsurance. The objective is to find the policy which maximizes the expected total discounted dividend pay-out until the time of bankruptcy and the terminal value of the company under liquidity constraint. We find the solution of this problem via solving the problem with zero terminal value. We also analyze the influence of terminal value on the optimal policy.展开更多
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
In this paper, the impulsive exploitation of two species periodic competitive system is considered. First, we show that this type of system with impulsive harvesting has a unique positive periodicsolution, which is gl...In this paper, the impulsive exploitation of two species periodic competitive system is considered. First, we show that this type of system with impulsive harvesting has a unique positive periodicsolution, which is globally asymptotically stable. Further, by choosing the maximum total revenues as the management objective, we investigate the optimal harvesting policies for periodic competitive system with impulsive harvesting. Finally, we obtain the optimal time to harvest and optimal population level.展开更多
基金supported by the NSF of China(11931018, 12271274)the Tianjin Natural Science Foundation (19JCYBJC30400)。
文摘In this paper, we consider the optimal risk sharing problem between two parties in the insurance business: the insurer and the insured. The risk is allocated between the insurer and the insured by setting a deductible and coverage in the insurance contract. We obtain the optimal deductible and coverage by considering the expected product of the two parties' utilities of terminal wealth according to stochastic optimal control theory. An equilibrium policy is also derived for when there are both a deductible and coverage;this is done by modelling the problem as a stochastic game in a continuous-time framework. A numerical example is provided to illustrate the results of the paper.
文摘To investigate the equilibrium relationships between the volatility of capital and income, taxation, and ance in a stochastic control model, the uniqueness of the solution to this model was proved by using the method of dynamic programming under the introduction of distributive disturbance and elastic labor supply. Furthermore, the effects of two types of shocks on labor-leisure choice, economic growth rate and welfare were numerically analyzed, and then the optimal tax policy was derived.
基金Supported by Doctor Foundation of Xinjiang Universitythe National Natural Science Foundation of China
文摘This paper considers a model of an insurance company which is allowed to invest a risky asset and to purchase proportional reinsurance. The objective is to find the policy which maximizes the expected total discounted dividend pay-out until the time of bankruptcy and the terminal value of the company under liquidity constraint. We find the solution of this problem via solving the problem with zero terminal value. We also analyze the influence of terminal value on the optimal policy.
基金This research was supported in part by the National Natural Science Foundation of China under Grant Nos. 70971023 and 71001089 and in part by the Natural Science Foundation of Zhejiang Province under Grant No. Y60860040.
基金The research was supported by the National Natural Science Foundation of China(Grant Nos.11931018,72101059)Guangdong Natural Science Foundation(Grant No.2020A1515010924).
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.
基金the National Natural Science Foundation of China (10471040)Program for New Century Excellent Talents in University (NCET050271)the Natural Science Foundation of North University of China (54)
文摘In this paper, the impulsive exploitation of two species periodic competitive system is considered. First, we show that this type of system with impulsive harvesting has a unique positive periodicsolution, which is globally asymptotically stable. Further, by choosing the maximum total revenues as the management objective, we investigate the optimal harvesting policies for periodic competitive system with impulsive harvesting. Finally, we obtain the optimal time to harvest and optimal population level.
基金National Science Foundation of China (10171010 and 10201005)Major Project of Education Ministry of China(01061)Key Library for Vegetation Ecology, Education Ministry of China.
