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)

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)

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 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)

CONDITIONAL RECURSIVE EQUATIONS ON EXCESS-OF-LOSS REINSURANCE 

The marginal recursive equations on excess-of-loss reinsurance treaty are investignted, under the assumption that the number of claims belongs to the family ...
《Applied Mathematics and Mechanics(English Edition)》  2006年 第08期 下载次数(43)| 被引次数(1)

再保险公司偿付能力监管研究 

本文在回顾了中外偿付能力研究文献的基础上,阐述了再保险公司与原保险公司在偿付能力监管及其影响因素方面的差异,详细介绍了美国和欧盟的保险监管制度,并且将我国第二代偿付能力监管制度体系与之进行对比分析,指出我们可以借鉴的经验。然后以一家再保险公司为实例,通过对2014-2016年的主要经营指标,如所有者权益、资产状况、偿付...
广东财经大学  硕士论文  2017年 下载次数(39)| 被引次数()

我国再保险公司财务风险管理研究 

我国保险业受诸多方面的影响,发展起步较缓,再保险业在这样的大环境下起步就更加慢了,目前我国保险市场还处于发展的初级阶段。目前我国国有再保险公司数量较少,专业从事再保险业务的除了2016年刚成立的太平再保险公司以及人保再保险公司,中国再保险公司占有约80%的市场份额,这导致了我国再保险市场一家独大的局面。反观全球市场,根...
东华大学  硕士论文  2017年 下载次数(374)| 被引次数(1)

Optimal Dividend and Capital Injection of the Insurance Company with Proportional Reinsurance Policy 

This paper deals with the optimal control problem of the insurance company with proportional reinsurance policy.By controlling the dynamic reinsurance rate,divi...
第二十九届中国控制会议论文集  2010-07-29 下载次数(29)| 被引次数(0)

王氏保费准则下隐含再保险公司违约风险的最优再保险设计 

本文考虑到再保险公司违约风险对保险人再保险的影响,利用VaR风险度量研究最优再保险策略.在再保险合同中,再保险公司向保险人收取一定的保费,承诺赔偿再保险人面临的部分损失.但,当再保险公司承诺的限额超过其偿付能力就可能发生违约风险.因此,为了避免再保险公司违约风险,使保险公司的总风险最小,本文根据王氏保费准则,运用VaR...
《应用概率统计》  2019年 第01期 下载次数(44)| 被引次数()

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