曲阜师范大学学报（自然科学版）2019，Vol.45Issue(2)：47-51,5.DOI:10.3969/j.issn.1001-5337.2019.2.047
关于带罚金的最优分红的研究
On research about optimal dividends with penalty payments
张宗良 1吕玉华1
作者信息
- 1. 曲阜师范大学统计学院,273165,山东省曲阜市
- 折叠
摘要
Abstract
Contrary to classical models,we assume that the insurance company does not go out of business even if the surplus becomes negative.But penalty payments occur depending on the level of the current surplus.Subsequently,we find the optimal dividend strategy is a barrier strategy and derive the closed-form solution for the value function when considering linearly penalty payments.关键词
最优分红/随机控制/HJB方程/罚金支付/Barrier策略Key words
optimal dividends/stochastic control/HJB equation/penalty payments/barrier strategy分类
数理科学引用本文复制引用
张宗良,吕玉华..关于带罚金的最优分红的研究[J].曲阜师范大学学报（自然科学版）,2019,45(2):47-51,5.
