郑州大学学报（理学版）2015，Vol.47Issue(2)：37-40,4.DOI:10.3969/j.issn.1671-6841.2015.02.008
基于经典风险模型的最优分红和最优注资策略研究
Optimal Dividend and Capital Injection Strategy in Classical Risk Model
王永茂 1祁晓玉 1贠小青2
作者信息
- 1. 燕山大学理学院 河北秦皇岛066004
- 2. 燕山大学里仁学院 河北秦皇岛066004
- 折叠
摘要
Abstract
Based on the classical risk model, the optimal dividend and injection were studied to minimize the risks for the company or maximize the shareholder' s profit when the dividend was restricted.Firstly, the surplus process of insurance company was explored, and the value function V( x) was presented.Sec-ondly, some properties of the value function V( x) were examined, then the HJB equations were estab-lished.And the optimal dividend and capital injection strategies were found.At the same time, the cap-ital injection boundary was put forward.Finally, whether to inject and the amount of injection were dis-cussed when facing the risk of bankruptcy.关键词
经典风险模型/分红策略/注资策略/HJB方程Key words
classical risk model/dividend strategy/capital injection strategy/HJB equation分类
管理科学引用本文复制引用
王永茂,祁晓玉,贠小青..基于经典风险模型的最优分红和最优注资策略研究[J].郑州大学学报（理学版）,2015,47(2):37-40,4.
