Optimal Dividend and Proportional Reinsurance Strategy Under Standard Deviation Premium Principle

被引：1
|
作者：
Li, Na [1 ]
Wang, Wei [1 ]
机构：
[1] Tianjin Normal Univ, Coll Math Sci, Tianjin 300387, Peoples R China
来源：
BULLETIN OF THE MALAYSIAN MATHEMATICAL SCIENCES SOCIETY | 2022年 / 45卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Standard deviation premium principle; Stochastic control; Dividend optimization; Proportion reinsurance; Optimal strategy; Hamilton-Jacobi-Bellman equation; CAPITAL INJECTION; DIFFUSION-MODEL; OPTIMAL RISK; POLICIES; COMPANY; CONSTRAINTS;
D O I：
10.1007/s40840-021-01220-w
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper investigates the optimal dividend and proportional reinsurance problem. The reinsurance premium principle is calculated by the standard deviation premium principle rather than the expected value premium principle. The objective is to maximize the discounted value of accumulated dividend payments. Two cases are discussed here to solve this optimization problem, based on whether there is a restriction on the dividend rate or not. Closed-form expressions for the value function and optimal dividend and reinsurance policies are obtained for both cases. Finally, numerical examples are given to describe the effect of the parameters on the value function.
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页码：869 / 888
页数：20
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