再保险
单调多边形
随机控制
投资(军事)
指数效用
指数函数
最优控制
期望效用假设
控制(管理)
功能(生物学)
数学优化
精算学
终端(电信)
经济
计算机科学
计量经济学
数学
数理经济学
数学分析
电信
几何学
管理
进化生物学
政治
政治学
法学
生物
作者
Xin Jiang,Kam Chuen Yuen,Mi Chen
出处
期刊:Journal of Industrial and Management Optimization
[American Institute of Mathematical Sciences]
日期:2019-08-08
卷期号:16 (6): 2781-2797
被引量:3
摘要
This paper studies the optimal investment and reinsurance problem for a risk model with premium control. It is assumed that the insurance safety loading and the time-varying claim arrival rate are connected through a monotone decreasing function, and that the insurance and reinsurance safety loadings have a linear relationship. Applying stochastic control theory, we are able to derive the optimal strategy that maximizes the expected exponential utility of terminal wealth. We also provide a few numerical examples to illustrate the impact of the model parameters on the optimal strategy.
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