随机利率下保险公司最优保费策略 |
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引用本文: | 孟祥波,张立东,杜子平. 随机利率下保险公司最优保费策略[J]. 山东大学学报(理学版), 2013, 48(3): 106-110 |
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作者姓名: | 孟祥波 张立东 杜子平 |
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作者单位: | 1. 天津科技大学理学院,天津,300457 2. 天津科技大学经济与管理学院,天津,300222 |
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基金项目: | 国家自然科学基金资助项目,教育部人文社会科学研究基金一般项目,天津科技大学科学研究基金资助项目 |
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摘 要: | 研究了随机利率下保险公司所面临的最优化问题。决策者可以通过调节保费费率来控制其现金余额过程。在给出预定目标水平的前提下,通过最小化现金余额过程中的总偏差,得到了最优保费策略及最优成本函数。
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关 键 词: | 最优保费策略 随机利率 正倒向随机微分方程 哈密尔顿系统 |
收稿时间: | 2012-01-20 |
Optimal premium policy of an insurance firm with stochastic interest rates |
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Affiliation: | 1. College of Science, Tianjin University of Science & Technology, Tianjin 300457, China;2. College of Economics & Management, Tianjin University of Science & Technology, Tianjin 300222, China |
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Abstract: | The optimization problem was studied which an insurance firm faced under the stochastic interest rates. The decision-makers can control its cash-balance dynamics by adjusting the underlying premium rate. The firm’s objective is to minimize the total deviation of its cash-balance process. Thus the optimal premium policy and the optimal cost function were obtained. |
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Keywords: | optimal premium policy stochastic interest rates forward-backward stochastic differential equation Hamiltonian system |
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