Optimal Dividend and Dynamic Reinsurance Strategies with Capital Injections and Proportional Costs
查看参考文献11篇
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文摘
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We consider an optimization problem of an insurance company in the diffusion setting, which controls the dividends payout as well as the capital injections. To maximize the cumulative expected discounted dividends minus the penalized discounted capital injections until the ruin time, there is a possibility of (cheap or non-cheap) proportional reinsurance. We solve the control problems by constructing two categories of suboptimal models, one without capital injections and one with no bankruptcy by capital injection. Then we derive the explicit solutions for the value function and totally characterize the optimal strategies. Particularly, for cheap reinsurance, they are the same as those in the model of no bankruptcy. |
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来源
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Acta Mathematicae Applicatae Sinica-English Series
,2012,28(3):505-524 【核心库】
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DOI
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10.1007/s10255-012-0166-2
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关键词
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proportional reinsurance
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non-cheap
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optimal dividend
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capital injections
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地址
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School of Mathematical Sciences and LPMC, Nankai University, Tianjin, 300071
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语种
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英文 |
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ISSN
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0168-9673 |
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学科
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社会科学总论;数学 |
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基金
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国家973计划
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国家自然科学基金
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文献收藏号
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CSCD:4622829
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参考文献 共
11
共1页
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