破产终端值影响下保险公司最优分红、注资和溢额再保险策略

发布时间：2018-03-10 14:27

本文选题：分红　切入点：注资　出处：《中国科学:数学》2017年08期 　论文类型：期刊论文

【摘要】：本文假设保险公司可通过分红、注资和购买溢额再保险三种方式动态地控制盈余过程.同时控制过程会消耗交易费用:再保险合同是"不便宜的";分红需要纳税;而注资需要比例注资成本和固定注资成本.在最大化公司价值目标下,本文给出了最优的控制策略,并分析了交易费用和任意破产终端值的影响.结果表明,当交易费用较低且破产终端值相对较小时,注资可能最优,应当按照Barrier策略进行分红;当公司盈余增加时,应当减少再保险购买量.
[Abstract]:This paper assumes that the insurance company can dynamically control the surplus process through dividend, capital injection and purchase of excess reinsurance. At the same time, the control process will consume the transaction costs: the reinsurance contract is not cheap, the dividend is taxable, the reinsurance contract is not cheap, the reinsurance contract is not cheap, and the reinsurance contract is not cheap. Under the objective of maximizing firm value, this paper gives the optimal control strategy, and analyzes the influence of transaction cost and arbitrary bankruptcy terminal value. When the transaction cost is low and the end value of bankruptcy is relatively small, the capital injection may be optimal, and the dividend should be paid according to the Barrier strategy; when the company's surplus increases, the amount of reinsurance should be reduced.
【作者单位】：南京财经大学金融学院;华东师范大学统计学院;安徽师范大学数学计算机科学学院;
【基金】：国家自然科学基金(批准号:71671082,71471081,11571113,11231005,11101205和11201006) 教育部人文社会科学研究(批准号:15YJC910008) 上海市优秀学术带头人计划(批准号:14XD1401600) 高等学校学科创新引智计划(批准号:B14019) 江苏省高校自然科学研究(批准号:15KJB110009)资助项目
【分类号】：F224;F840.31

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