| 最优多期比例再保险策略的必要条件 |
| |
| 引用本文： | 李仲飞,从建发.最优多期比例再保险策略的必要条件[J].系统科学与数学,2008,28(11):1354-1362. |
| |
| 作者姓名： | 李仲飞 从建发 |
| |
| 作者单位： | 中山大学岭南(大学)学院,广东,510275 |
| |
| 基金项目： | 国家杰出青年科学基金，国家自然科学基金 |
| |
| 摘 要： | 研究最小化保险公司破产概率的最优多期比例再保险策略,给出了保险公司最小破产概率的一个递归表达式,证明了可用动态规划方法求解此类问题.在此基础上,我们推导出最优多期比例再保险策略的几个必要条件.
|
| 关 键 词： | 离散风险过程 破产概率 最优再保险策略 必要条件 动态规划. |
| 收稿时间： | 2008-8-3 |
| 修稿时间： | 2008-8-30 |
NECESSARY CONDITIONS OF THE OPTIMAL MULTI-PERIOD PROPORTIONAL REINSURANCE STRATEGY |
| |
| LI Zhongfei,CONG Jianfa.NECESSARY CONDITIONS OF THE OPTIMAL MULTI-PERIOD PROPORTIONAL REINSURANCE STRATEGY[J].Journal of Systems Science and Mathematical Sciences,2008,28(11):1354-1362. |
| |
| Authors: | LI Zhongfei CONG Jianfa |
| |
| Institution: | Lingnan University College, Sun Yat-sen University,Guangdong 510275 |
| |
| Abstract: | This paper is concerned with theoptimal multi-period proportional reinsurance strategy thatminimizes the ruin probability of the insurer. It is shown that theminimal ruin probability is expressed inductively, and that the dynamicprogramming approach can be used to solve this problem. Furthermore,several necessary conditions of the optimal multi-periodproportional reinsurance strategy are derived. |
| |
| Keywords: | Discrete-time risk process ruinprobability optimal reinsurance strategy necessary condition dynamic programming |
| 本文献已被 万方数据 等数据库收录！ |
| 点击此处可从《系统科学与数学》浏览原始摘要信息 |
| 点击此处可从《系统科学与数学》下载免费的PDF全文 |
