数学物理学报(英文版) ›› 2010, Vol. 30 ›› Issue (3): 791-798.doi: 10.1016/S0252-9602(10)60078-1
袁海丽, 胡亦钧
YUAN Hai-Li, HU Yi-Jun
摘要:
In this article, we consider an optimal proportional reinsurance with constant dividend barrier. First, we derive the Hamilton-Jacobi-Bellman equation satisfied by the expected discounted dividend payment, and then get the optimal stochastic control and the optimal constant
barrier. Secondly, under the optimal constant dividend barrier strategy, we consider the moments of the discounted dividend payment and their explicit expressions are given. Finally, we discuss the Laplace transform of the time of ruin and its explicit expression is also given.
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