Optimal proportional reinsurance policies for diffusion models
Optimal proportional reinsurance policies for diffusion models
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DOI：
10.1080/03461238.1998.10414000
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发表时间：
1998-07
影响因子：
1.8
通讯作者：
Bjarne Højgaard;M. Taksar
中科院分区：
文献类型：
--
作者：
Bjarne Højgaard;M. Taksar
当采用比例再保险策略π时，保险公司的准备金由a π =（aπ（t）u dt + aπ（t）σ dWt控制，其中{Wt }是标准布朗运动，μ，π，> 0是常数，0 ≤ aπ（t）≤ 1是控制过程，其中aπ（t）表示在时间t再保险的分数。本文的目的是找到一个最大化收益函数Vπ（x）=的策略，其中c > 0，τπ是破产时间，x是初始准备金。
Abstract When applying a proportional reinsurance policy π the reserve of the insurance company is governed by a SDE =(aπ (t)u dt + aπ (t)σ dWt where {Wt } is a standard Brownian motion, µ, π, > 0 are constants and 0 ⩽ aπ (t) ⩽ 1 is the control process, where aπ (t) denotes the fraction, that is reinsured at time t. The aim of this paper is to find a policy that maximizes the return function Vπ (x) = where c > 0, τπ is the time of ruin and x refers to the initial reserve.