| 投资影响下的再保险策略 |
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| 引用本文： | 邓志民.投资影响下的再保险策略[J].数学杂志,2006,26(2):171-176. |
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| 作者姓名： | 邓志民 |
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| 作者单位： | 南开大学数学学院统计学系,天津,300071;广东工业大学应用数学系,广东,广州,510643 |
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| 基金项目： | 国家自然科学基金资助项目(No.10171051). |
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| 摘 要： | 本文研究了投资影响下的再保险策略,利用有关的线性正倒向随机微分方程,获得投资影响下再保险的自留比例或自留额的计算式子.
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| 关 键 词： | 正倒向随机微分方程 伊藤随机微分方程 比例再保险 超额损失再保险 |
| 文章编号： | 0255-7797（2006）02-0171-06 |
| 收稿时间： | 2003-11-06 |
| 修稿时间： | 2003-11-062004-06-23 |
REINSURANCE STRATEGIES UNDER INVESTMENT INFLUENCE |
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| DENG Zhi-min.REINSURANCE STRATEGIES UNDER INVESTMENT INFLUENCE[J].Journal of Mathematics,2006,26(2):171-176. |
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| Authors: | DENG Zhi-min |
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| Institution: | 1,Dept. of Statistics, Institute of Math. , Nankai University, Tianjin 300071, China;2,Faculty of Applied Math. , Guangdong University of Technology, Guangzhou 510643, China |
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| Abstract: | The paper researchs the question of reinsurance strategies under investment influence. using relevant linear forward-backward stochastic differential equations, it obtains a calculating formula of the retained proportion or retention for the reinsurance. |
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| Keywords: | forward-backward stochastic differential equation Ito differential formula proportional reinsurance excess-of-loss reinsurance |
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