数学物理学报(英文版) ›› 2011, Vol. 31 ›› Issue (3): 1077-1090.doi: 10.1016/S0252-9602(11)60299-3

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THE OPTIMAL STRATEGY FOR INSURANCE COMPANY UNDER THE INFLUENCE OF TERMINAL VALUE

刘伟*|袁海丽|胡亦钧   

  1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China, School of Mathematics and System Sciences, Xinjiang University, Urumqi 830046, China|School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
  • 收稿日期:2008-12-29 修回日期:2010-03-27 出版日期:2011-05-20 发布日期:2011-05-20
  • 通讯作者: 刘伟 E-mail:hailiyuan@gmail.com; yjhu.math@whu.edu.cn
  • 基金资助:

    Supported   by Doctor Foundation of Xinjiang University and  the National Natural Science Foundation of China.

THE OPTIMAL STRATEGY FOR INSURANCE COMPANY UNDER THE INFLUENCE OF TERMINAL VALUE

 LIU Wei*, YUAN Hai-Li, HU Yi-Jun   

  1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China, School of Mathematics and System Sciences, Xinjiang University, Urumqi 830046, China|School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
  • Received:2008-12-29 Revised:2010-03-27 Online:2011-05-20 Published:2011-05-20
  • Contact: LIU Wei E-mail:hailiyuan@gmail.com; yjhu.math@whu.edu.cn
  • Supported by:

    Supported   by Doctor Foundation of Xinjiang University and  the National Natural Science Foundation of China.

摘要:

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.

关键词: proportional reinsurance, terminal value, optimal policy, HJB equation

Abstract:

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.

Key words: proportional reinsurance, terminal value, optimal policy, HJB equation

中图分类号: 

  • 91B28