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This article studies the optimal proportional reinsurance and investment problem under a constant elasticity of variance(CEV) model.Assume that the insurer’s surplus process follows a jump-diffusion process,the insurer can purchase proportional reinsurance from the reinsurer via the variance principle and invest in a risk-free asset and a risky asset whose price is modeled by a CEV model.The diffusion term can explain the uncertainty associated with the surplus of the insurer or the additional small claims.The objective of the insurer is to maximize the expected exponential utility of terminal wealth.This optimization problem is studied in two cases depending on the diffusion term’s explanation.In all cases,by using techniques of stochastic control theory,closed-form expressions for the value functions and optimal strategies are obtained. 相似文献
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该文将经典风险模型推广到非时齐复合Poisson风险模型.首先,运用经典方法和时变方法,计算了该模型下的破产特征量,且得到了更新方程的解析表达式.其次,定义了时变后相应模型的一个广义的Gerber-Shiu函数,验证了时变方法对非时齐Poisson风险模型的有效性.最后,当单次索赔量服从指数分布时,计算了相应的破产概率和Gerber-Shiu函数. 相似文献
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