动态VaR约束下带有界分红的最优再保策略
Optimal reinsurance approach with barrier dividend under the dynamic VaR constraint
云南民族大学学报:自然科学版,2016,25(5):463-468

孙宗岐 SZQ

摘要


考虑受动态VaR约束时保险公司最优再保险与分红策略问题,假定保险公司盈余服从扩散过程,在分红总量现值的期望最大化准则下,使用动态规划原理建立了动态VaR约束下保险公司分红的数学模型,通过求解HJB方程并使用库恩-塔克条件得到动态VaR约束下的最优再保策略显示解,推广了值函数表达式. Under the hypothesis that the insurance’s reserve price follows a diffusion process, an optimal reinsurance approach that has a barrier dividend is studied under the dynamic VaR constraint . Based on the criterion of maximizing the expected present value of dividend payments and by, using the dynamic programming principle and Kuhn-Tucker condition, the optimal reinsurance approach is established by solving the HJB equation,and finally the value function is extended.

参考



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