有再保险控制下的非线性脉冲注资问题
发布时间：2019-05-24 03:46
【摘要】：假定有两家再保险公司共同接受原始保险公司的分保,且保险公司及这两家再保险公司均采用方差保费准则收取保费.基于上述跳风险模型,本文采用扩散逼近模型为基本模型来描述保险公司再保后的资产盈余.另外,为避免破产的发生,公司会接受外部资金注入.假定每次注资不低于某个固定常数d0,且有固定交易费和比例费用,即为有限制情形下的脉冲注资.本文研究最小期望折现非线性脉冲注资问题,应用Hamilton-Jacobi-Bellman(HJB)方法,给出值函数和最优策略的明晰解答.最后,对有关参数进行灵敏度分析.
[Abstract]:It is assumed that two reinsurance companies accept the reinsurance of the original insurance company together, and both the insurance company and the two reinsurance companies use the variance premium criterion to collect the premium. Based on the above jump risk model, this paper uses the diffusion approximation model as the basic model to describe the asset surplus of the insurance company after reinsurance. In addition, in order to avoid bankruptcy, the company will accept external capital injection. Assuming that each injection is not less than a fixed constant d0 and there are fixed transaction fees and proportional costs, it is a pulse injection with a limit. In this paper, the problem of minimum expected discount nonlinear pulse injection is studied. By using Hamilton-Jacobi-Bellman (HJB) method, the clear solutions of value function and optimal strategy are given. Finally, the sensitivity analysis of the relevant parameters is carried out.
【作者单位】： 中央财经大学中国精算研究院;中央财经大学经济学院;
【基金】：国家自然科学基金(批准号:11271385,71301173和11571388) 教育部人文社会科学重点研究基地(批准号:14JJD790001) 中央高校基本科研业务费专项资金 中央财经大学科研创新团队支持计划资助项目
【分类号】：F842.3
本文编号：2484533
[Abstract]:It is assumed that two reinsurance companies accept the reinsurance of the original insurance company together, and both the insurance company and the two reinsurance companies use the variance premium criterion to collect the premium. Based on the above jump risk model, this paper uses the diffusion approximation model as the basic model to describe the asset surplus of the insurance company after reinsurance. In addition, in order to avoid bankruptcy, the company will accept external capital injection. Assuming that each injection is not less than a fixed constant d0 and there are fixed transaction fees and proportional costs, it is a pulse injection with a limit. In this paper, the problem of minimum expected discount nonlinear pulse injection is studied. By using Hamilton-Jacobi-Bellman (HJB) method, the clear solutions of value function and optimal strategy are given. Finally, the sensitivity analysis of the relevant parameters is carried out.
【作者单位】： 中央财经大学中国精算研究院;中央财经大学经济学院;
【基金】：国家自然科学基金(批准号:11271385,71301173和11571388) 教育部人文社会科学重点研究基地(批准号:14JJD790001) 中央高校基本科研业务费专项资金 中央财经大学科研创新团队支持计划资助项目
【分类号】：F842.3
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