OPTIMAL PROPORTIONAL REINSURANCE WITH CONSTANT DIVIDEND BARRIER |
| |
Authors: | Yuan Haili Hu Yijun |
| |
Institution: | School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China |
| |
Abstract: | In this article, we consider an optimal proportional reinsurance with constant dividend barrier. First, we derive the Hamilton-Jacobi-Bellman equation satisfied by the expected discounted dividend payment, and then get the optimal stochastic control and the optimal constant barrier. Secondly, under the optimal constant dividend barrier strategy, we consider the moments of the discounted dividend payment and their explicit expressions are given. Finally, we discuss the Laplace transform of the time of ruin and its explicit expression is also given. |
| |
Keywords: | Stochastic control constant barrier time of ruin expected discounted dividend payment moments Laplace transform of the time of ruin |
本文献已被 CNKI 维普 万方数据 ScienceDirect 等数据库收录! |
|