Optimal proportional reinsurance and dividend payments with transaction costs and internal competition 

We study the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside company and t...
《Applied Mathematics:A Journal of Chinese Universitie…》  2016年 第01期 下载次数(45)| 被引次数(2)

Optimal Reinsurance Under Distortion Risk Measures and Expected Value Premium Principle for Reinsurer 

This paper discusses optimal reinsurance strategy by minimizing insurer s risk under one general risk measure:Distortion risk measure.The authors assume that th...
《Journal of Systems Science & Complexity》  2015年 第01期 下载次数(71)| 被引次数(4)

Minimizing the Risk of Absolute Ruin Under a Diffusion Approximation Model with Reinsurance and Investment 

This paper studies the optimization problem with both investment and proportional reinsurance control under the assumption that the surplus process of an insura...
《Journal of Systems Science & Complexity》  2015年 第01期 下载次数(30)| 被引次数(3)

OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT FOR A CONSTANT ELASTICITY OF VARIANCE MODEL UNDER VARIANCE PRINCIPLE 

This article studies the optimal proportional reinsurance and investment problem under a constant elasticity of variance(CEV) model.Assume that the insurer s su...
《Acta Mathematica Scientia(English Series)》  2015年 第02期 下载次数(37)| 被引次数(8)

Empirical study on optimal reinsurance for crop insurance in China from an insurer's perspective 

This study investigates the optimal reinsurance for crop insurance in China in an insurer s perspective using the data from Inner Mongolia, Jilin, and Liaoning,...
《Journal of Integrative Agriculture》  2015年 第10期 下载次数(58)| 被引次数(0)

Dividend-Reinsurance Strategy in the Sparre Andersen Model 

In this paper,we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier,which is named dividend-reinsurance str...
《数学学报》  2013年 第02期 下载次数(30)| 被引次数(1)

Dividend-Reinsurance Strategy in the Sparre Andersen Model 

In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance stra...
《Acta Mathematica Sinica》  2013年 第02期 下载次数(33)| 被引次数(6)

Optimal Dividend and Dynamic Reinsurance Strategies with Capital Injections and Proportional Costs 

We consider an optimization problem of an insurance company in the diffusion setting, which controls the dividends payout as well as the capital injections. To ...
《Acta Mathematicae Applicatae Sinica(English Series)》  2012年 第03期 下载次数(65)| 被引次数(6)

Risk Measure and Premium Distribution on Catastrophe Reinsurance 

In this paper,we propose a new risk measure which is based on the Orlicz premium principle to characterize catastrophe risk premium.The intention is to develop ...
《Communications in Mathematical Research》  2012年 第04期 下载次数(73)| 被引次数(1)

On Optimal Proportional Reinsurance and Investment in a Markovian Regime-Switching Economy 

In this paper,the surplus of an insurance company is modeled by a Markovian regimeswitching diffusion process.The insurer decides the proportional reinsurance a...
《Acta Mathematica Sinica》  2012年 第01期 下载次数(106)| 被引次数(13)

OPTIMAL INVESTMENT AND PROPORTIONAL REINSURANCE IN THE SPARRE ANDERSEN MODEL 

From the insurer s point of view,this paper studies the optimal investment and proportional reinsurance in the Sparre Andersen model.Under the criterion of m...
《Journal of Systems Science & Complexity》  2012年 第05期 下载次数(0)| 被引次数(3)

OPTIMAL PROPORTIONAL REINSURANCE UNDER DEPENDENT RISKS 

This paper considers a correlated risk model with thinning-dependence structure.The authors investigate the optimal proportional reinsurance that maximizes t...
《Journal of Systems Science & Complexity》  2012年 第06期 下载次数(0)| 被引次数(1)

Optimal Investment and Excess of Loss Reinsurance with Short-selling Constraint 

This paper considers the optimal control problem with constraints for an insurance company. The risk process is assumed to be a jump-diffusion process and the r...
《Acta Mathematicae Applicatae Sinica(English Series)》  2011年 第03期 下载次数(61)| 被引次数(4)

Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection 

In this paper, the surplus process of the insurance company is described by a Brownian motion with drift. In addition, the insurer is allowed to invest in a ris...
《Science China(Mathematics)》  2010年 第07期 下载次数(113)| 被引次数(19)

OPTIMAL PROPORTIONAL REINSURANCE WITH CONSTANT DIVIDEND BARRIER 

In this article, we consider an optimal proportional reinsurance with constant dividend barrier. First, we derive the Hamilton-Jacobi-Bellman equation satisfied...
《Acta Mathematica Scientia》  2010年 第03期 下载次数(43)| 被引次数(4)

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