带跳一扩散风险过程保险人的最优控制

doi:10.13371/j.cnki.chin.q.j.m.2015.04.009

数学季刊 ›› 2015, Vol. 30 ›› Issue (4): 562-569.doi: 10.13371/j.cnki.chin.q.j.m.2015.04.009

带跳一扩散风险过程保险人的最优控制

1.School of Finance, University of International Business and Economics, Canvard College, Beijing Technology and Business University 2.Business School, Central South University of Forestry and Technology 3.School of Economics and Management,Beijing Institute of Graphic Communication

收稿日期:2014-01-23 出版日期:2015-12-30 发布日期:2020-11-19
作者简介:WU Kun(1980-), male, native of Fengcheng, Jiangxi, a lecturer of Beijing Technology and Business University, engages in household ¯nance and asset allocation.
基金资助:
Supported by the Humanity and Social Science Foundation of Ministry of Education of China(10YJC790296)； Supported by the National Natural Science Foundation of China(71073020)；

Optimal Control for Insurers with a Jump-diffusion Risk Process

1.School of Finance, University of International Business and Economics, Canvard College, Beijing Technology and Business University 2.Business School, Central South University of Forestry and Technology 3.School of Economics and Management,Beijing Institute of Graphic Communication

Received:2014-01-23 Online:2015-12-30 Published:2020-11-19
About author:WU Kun(1980-), male, native of Fengcheng, Jiangxi, a lecturer of Beijing Technology and Business University, engages in household ¯nance and asset allocation.
Supported by:
Supported by the Humanity and Social Science Foundation of Ministry of Education of China(10YJC790296)； Supported by the National Natural Science Foundation of China(71073020)；

摘要/Abstract

摘要： In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and the reinsurance premium is calculated according to the variance principle, the implicit expression of the priority and corresponding value function when the utility function is exponential are obtained. At last, the value function is argued, the properties of the priority about parameters are discussed and numerical results of the priority for various claim-size distributions are shown.

关键词: HJB equation, variance principle, jump-diffusion process

Abstract: In this paper, the optimal XL-reinsurance of an insurer with jump-diffusion risk process is studied. With the assumptions that the risk process is a compound Possion process perturbed by a standard Brownian motion and the reinsurance premium is calculated according to the variance principle, the implicit expression of the priority and corresponding value function when the utility function is exponential are obtained. At last, the value function is argued, the properties of the priority about parameters are discussed and numerical results of the priority for various claim-size distributions are shown.

Key words: HJB equation, variance principle, jump-diffusion process

中图分类号:

O232

吴锟, 肖建武, 罗荣华. 带跳一扩散风险过程保险人的最优控制[J]. 数学季刊, 2015, 30(4): 562-569.

WU Kun, XIAO Jian-wu, LUO Rong-hua. Optimal Control for Insurers with a Jump-diffusion Risk Process[J]. Chinese Quarterly Journal of Mathematics, 2015, 30(4): 562-569.

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带跳一扩散风险过程保险人的最优控制

Optimal Control for Insurers with a Jump-diffusion Risk Process

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