| 引用本文: | 袁继红.比例再保险问题的奇异型最优控制模型[J].控制理论与应用,2010,27(1):53~58.[点击复制] |
| YUAN Ji-hong.Singular optimal control models of proportional reinsurance problem[J].Control Theory and Technology,2010,27(1):53~58.[点击复制] |
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| 比例再保险问题的奇异型最优控制模型 |
| Singular optimal control models of proportional reinsurance problem |
| 摘要点击 1746 全文点击 1193 投稿时间：2008-10-09 修订日期：2009-04-27 |
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| DOI编号 10.7641/j.issn.1000-8152.2010.1.CCTA081094 |
| 2010,27(1):53-58 |
| 中文关键词 比例再保险 准备金 奇异型随机控制 最优控制策略 |
| 英文关键词 proportional reinsurance reserve fund singular stochastic control optimal control policy |
| 基金项目 北京交通大学博士生科技创新基金资助项目(04118299). |
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| 中文摘要 |
| 在带有股利分配的比例再保险模型的基础上, 加入了债务和破产补偿因素, 建立了比例再保险问题中一类新的奇异型最优随机控制模型.利用随机分析的方法详尽分析了股利分配、债务和破产补偿因素对保险公司准备金的具体影响, 按收益率和偿债率的大小关系得出了不同情形下的最优控制策略及相应的最大收益的显式表达式. |
| 英文摘要 |
| Two factors, a constant payment of corporate debts and compensatory payment on the insurance companys bankruptcy, are introduced into a proportional reinsurance model with dividend payment, which generates a new class of
singular optimal stochastic control models on proportional reinsurance. Effects of the three factors on the companys reserve fund are analyzed by virtue of the methods of stochastic analysis. Moreover, optimal control policies and the corresponding maximal yields in different cases are obtained in explicit forms according to the different relations between the income rate
and the debts paid per year. |