基于内部竞争的金融企业的最优风险管理

讨论了金融企业的最优管理问题,金融企业的目标是：用于(股东)分红的净收益的期望现值最大,根据Bellman最优性原理,得出了分红情况下的Bellman方程,通过对所得方程的分析给出了解析解和最优控制策略．文章首次提出了最大容忍损失和临界破产概率两个概念,据此给出了破产概率新的解法并得到了企业的临界破产概率和破产原因．

Optimal risk management for enterprises with internal competition

This paper considers an optimization risk problem for the enterprises with internal competition. The goal for the enterprises is to maximize the expected present value of the total dividend distribution. The Bellman equation with dividend is obtained by using the Bellman optimal principle. The explicit solution and the optimal control policy making the dividend maximize for the enterprises are achieved by analyzing the Bellman equation. In this paper, two conceptions of "critical ruin probability" and "maximum tolerable loss" are first proposed. Moreover, based on the two conceptions, a new method is obtained of solving the ruin probability, and the reasons of bankruptcy and the critical ruin probability of the enterprise are achieved.