最优多期比例再保险策略的必要条件

李仲飞 从建发

系统科学与数学 ›› 2008, Vol. 28 ›› Issue (11) : 1354-1362.

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PDF(376 KB)
系统科学与数学 ›› 2008, Vol. 28 ›› Issue (11) : 1354-1362. DOI: 10.12341/jssms10140
论文

最优多期比例再保险策略的必要条件

    李仲飞 从建发
作者信息 +

Necessary Conditions of the Optimal Multi-Period ProportionalReinsurance Strategy

    LI Zhongfei CONG Jianfa
Author information +
文章历史 +

摘要

研究最小化保险公司破产概率的最优多期比例再保险策略,
给出了保险公司最小破产概率的一个递归表达式,证明了可用动态规划方法求解此类问题.在此基础上,
我们推导出最优多期比例再保险策略的几个必要条件.

Abstract

This paper is concerned with the
optimal multi-period proportional reinsurance strategy that
minimizes the ruin probability of the insurer. It is shown that the
minimal ruin probability is expressed inductively, and that the dynamic
programming approach can be used to solve this problem. Furthermore,
several necessary conditions of the optimal multi-period
proportional reinsurance strategy are derived.

关键词

离散风险过程 / 破产概率 / 最优再保险策略 / 必要条件 / 动态规划.

Key words

Discrete-time risk process / ruin probability / optimal reinsurance strategy / necessary condition / dynamic programming.

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李仲飞 从建发. 最优多期比例再保险策略的必要条件. 系统科学与数学, 2008, 28(11): 1354-1362. https://doi.org/10.12341/jssms10140
LI Zhongfei CONG Jianfa. Necessary Conditions of the Optimal Multi-Period ProportionalReinsurance Strategy. Journal of Systems Science and Mathematical Sciences, 2008, 28(11): 1354-1362 https://doi.org/10.12341/jssms10140
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