考虑再保险的最优股东回报控制策略

在假定保险公司与再保险公司有相同风险溢价率的情况下,以最大股东回报为目标,通过选择幂函数作为效用函数,运用HJB-变分不等方程,分别求解出最优控制策略的显示表达式以及最优回报函数的显示或半显示解,并给出了最优分红水平.

The Control Strategy of the Optimal Shareholder Returns Considering the Reinsurance

In consideration of the case that insurance and reinsurance companies have the same risk premium,the aim of this paper is to maximize shareholder returns,and to seek the corresponding optimal control strategies.If the power function is used as a utility function,in this hypothetical condition,we use the method of HJB-variations inequalities.We find the quasiexplicit expression for optimal control strategy as well as optimal return function,and gives the optimal dividend level.