常数边界分红策略下最优比例再保险和投资策略
Optimal Proportion Reinsurance and Investment Strategy under Constant Boundary Dividend Strategy
摘要: 研究了保险公司在扩散风险模型下的最优再保险和投资策略问题。以最大化期望累积贴现分红为准则的情况下，引入无风险投资，在常数边界分红策略下，研究最优比例再保险和比例风险投资策略问题。运用最大值原理求解相应的HJB方程，并通过验证定理验证所求HJB方程的解就是要找的值函数和最优策略。
Abstract: We mainly study the problem of optimal reinsurance and investment strategy under the diffusion risk model. Under the condition of maximizing the expected cumulative discounted dividends, the risk-free investment is introduced. Under the constant boundary dividend strategy, the problem of optimal proportional reinsurance and proportional risk investment strategy is studied. The main method to solve the corresponding HJB equation is maximum principle; the verification theorem is used to verify that the solution of the HJB equation is the value function and the optimal strategy.
文章引用：郭蒙蒙, 舒慧生. 常数边界分红策略下最优比例再保险和投资策略[J]. 应用数学进展, 2019, 8(4): 708-715. https://doi.org/10.12677/AAM.2019.84081

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