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	Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
	He, Lin ; Hou, Ping ; Liang, Zongxia
	2010-10-12 ; 2010-10-12
关键词	Optimal dividend control Proportional reinsurance HJB equation Solvency constraints Singular-regular control problem DIFFUSION-MODELS DIVIDEND RISK FIRM Economics Mathematics, Interdisciplinary Applications Social Sciences, Mathematical Methods Statistics & Probability
中文摘要	This paper considers the optimal control problem of the insurance company with proportional reinsurance policy under solvency constraints. The management of the company controls the reinsurance rate and dividends payout processes to maximize the expected present value of the dividend until the time of bankruptcy. This is a mixed singular-regular control problem. However, the optimal dividend payout barrier may be too low to be acceptable. The company may be prohibited to pay dividend according to external reasons because this low dividend payout barrier will result in bankruptcy soon. Therefore, some constraints oil the insurance company's dividend policy will be imposed. One reasonable and normal constraint is that if b is the minimum dividend barrier, then the bankrupt probability should not be larger than some predetermined epsilon within the time horizon T. This paper is to work out the optimal control policy of the insurance company under the solvency constraints. Crown Copyright (C) 2008 Published by Elsevier B.V. All rights reserved.
语种	英语 ; 英语
出版者	ELSEVIER SCIENCE BV ; AMSTERDAM ; PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/81249]
专题	清华大学
推荐引用方式 GB/T 7714	He, Lin,Hou, Ping,Liang, Zongxia. Optimal control of the insurance company with proportional reinsurance policy under solvency constraints[J],2010, 2010.
APA	He, Lin,Hou, Ping,&Liang, Zongxia.(2010).Optimal control of the insurance company with proportional reinsurance policy under solvency constraints..
MLA	He, Lin,et al."Optimal control of the insurance company with proportional reinsurance policy under solvency constraints".(2010).

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