An Analysis on the Inconsistency of the Security Supervision Policy in the Method of Game Theory

This article expounds and proves the basic model of the inconsistency of the security supervision policy and makes an analysis in the method of game theory on the inconsistency of the security transaction-tax-rate policy, concludes that the security supervision department is inclined to increase or decrease the security transaction tax rate, thus points out ways for supervision department to surmount this difficulty.

均值-方差标准下带跳的保险公司投资与再保险策略

研究了均值-方差标准下保险公司面临的投资与再保险最优策略问题,其盈余过程受控于一个跳-扩散模型,目的是寻找相应的时间相容性策略。假定金融市场由一个无风险资产和多个服从几何Levy过程的风险资产组成,通过求解广义HJB方程,得到了最优时间相容性投资和再保险策略的解析表达式以及最优值函数。