THE OPTIMAL STRATEGY FOR INSURANCE COMPANY UNDER THE INFLUENCE OF TERMINAL VALUE

作     者：刘伟 袁海丽 胡亦钧 

作者机构：School of Mathematics and Statistics Wuhan University School of Mathematics and System Sciences Xinjiang University 

出 版 物：《Acta Mathematica Scientia》 (数学物理学报（B辑英文版）)

年 卷 期：2011年第31卷第3期

页      面：1077-1090页

核心收录：

学科分类：12[管理学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070105[理学-运筹学与控制论] 0701[理学-数学] 

基　　金：Supported by Doctor Foundation of Xinjiang University the National Natural Science Foundation of China 

主　　题：proportional reinsurance terminal value optimal policy HJB equation 

摘      要：This paper considers a model of an insurance company which is allowed to invest a risky asset and to purchase proportional reinsurance. The objective is to find the policy which maximizes the expected total discounted dividend pay-out until the time of bankruptcy and the terminal value of the company under liquidity constraint. We find the solution of this problem via solving the problem with zero terminal value. We also analyze the influence of terminal value on the optimal policy.