[1]孙宗岐,刘宣会,陈思源,等.基于注资-有界分红的随机微分投资-再保博弈[J].深圳大学学报理工版,2017,34(No.4(331-440)):364-371.[doi:10.3724/SP.J.1249.2017.04364]
 Sun Zongqi,Liu Xuanhui,Chen Siyuan,et al.Stochastic differential investment-reinsurance games with capital injection-barrier dividend[J].Journal of Shenzhen University Science and Engineering,2017,34(No.4(331-440)):364-371.[doi:10.3724/SP.J.1249.2017.04364]
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基于注资-有界分红的随机微分投资-再保博弈()
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《深圳大学学报理工版》[ISSN:1000-2618/CN:44-1401/N]

卷:
第34卷
期数:
2017年No.4(331-440)
页码:
364-371
栏目:
数学与应用数学
出版日期:
2017-07-10

文章信息/Info

Title:
Stochastic differential investment-reinsurance games with capital injection-barrier dividend
文章编号:
201704005
作者:
孙宗岐1刘宣会2陈思源1冀永强1娄建军1
1)西安思源学院高数教研室, 陕西西安 710038
2)西安工程大学理学院, 陕西西安 710048
Author(s):
Sun Zongqi1 Liu Xuanhui2 Chen Siyuan1 Ji Yongqiang1 and Lou Jianjun1
1) Department of Mathematics, Xi’an Siyuan University, Xi’an 710038, Shaanxi Province, P.R.China
2) College of Science, Xi’ an Polytechnic University, Xi’an 710048, Shaanxi Province, P.R.China
关键词:
运筹学对策论随机微分博弈 Hamilton-Jacobi-Bellman-Isaacs方程投资策略比例再保险策略注资-有界分红模型风险
Keywords:
operations research game theory stochastic differential game Hamilton-Jacobi-Bellman-Isaacs equation investment strategies proportional reinsurance capital injection-barrier dividend model risk
分类号:
O 211.63
DOI:
10.3724/SP.J.1249.2017.04364
文献标志码:
A
摘要:
研究存在模型风险时保险公司的最优投资-再保-注资-有界分红的策略问题.在分红与注资之差的总量现值的期望最大化的准则下,使用随机微分博弈理论建立保险公司的随机微分博弈,通过求解Hamilton-Jacobi-Bellman-Isaacs方程得到最优投资-再保-注资-有界分红策略的显式解,采用数值算例分析验证了本研究所提策略的合理性.
Abstract:
To better reflect the insurance practice and help insurance company make more robust strategy, we investigate the optimal investment-reinsurance-capital injection-barrier dividend problem when model risk exists. Based on the criterion of maximizing the expected total present value of the difference between barrier dividend and capital injection, the stochastic differential game model is utilized based on stochastic differential game principle, and the optimal policy is obtained by solving the Hamilton-Jacobi-Bellman-Isaacs (HJBI) equation. The closed-form optimal investment-reinsurance-capital injection-barrier dividend strategies are derived. The economic analyses illustrate the reasonableness of the obtained theoretical results.

参考文献/References:

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备注/Memo

备注/Memo:
Received:2016-10-21;Accepted:2017-01-20
Foundation:National Natural Science Foundation of China (71371152); Natural Science Foundation of the Education Department of Shaanxi Province (2016JK2150 ); Xi’an Siyuan University Research Fund 2016 Annual (XASY-B1617)
Corresponding author:Assocoate professor Liu Xuanhui. E-mail: lxhlll2011@163.com
Citation:Sun Zongqi, Liu Xuanhui, Chen Siyuan, et al. Stochastic differential investment-reinsurance games with capital injection-barrier dividend[J]. Journal of Shenzhen University Science and Engineering, 2017, 34(4): 364-371.(in Chinese)
基金项目:国家自然科学基金资助项目(71371152);陕西省教育厅自然科学专项基金资助项目(2016JK2150);西安思源学院2016年度科研基金资助项目(XASY-B1617)
作者简介:孙宗岐(1979—),男,西安思源学院讲师.研究方向:随机分析与随机运筹.E-mail: szqi200679@sina.com
引文:孙宗岐,刘宣会,陈思源,等.基于注资-有界分红的保险公司随机微分投资-再保博弈[J]. 深圳大学学报理工版,2017,34(4):364-371.
更新日期/Last Update: 2017-06-26