[1]华婷,梁志彬.最大化调节系数的最优比例再保险和破产概率 ——跳扩散模型[J].南京师范大学学报(自然科学版),2014,37(02):23.
 Hua Ting,Liang Zhibin.Optimal Proportional Reinsurance and Ruin Probability to Maximize the Adjustment Coefficient ——JumpDiffusion Risk Model[J].Journal of Nanjing Normal University(Natural Science Edition),2014,37(02):23.
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最大化调节系数的最优比例再保险和破产概率 ——跳扩散模型()
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《南京师范大学学报》(自然科学版)[ISSN:1001-4616/CN:32-1239/N]

卷:
第37卷
期数:
2014年02期
页码:
23
栏目:
数学
出版日期:
2014-06-30

文章信息/Info

Title:
Optimal Proportional Reinsurance and Ruin Probability to Maximize the Adjustment Coefficient ——JumpDiffusion Risk Model
作者:
华婷1梁志彬2
(1.常州工学院理学院,江苏 常州 213002) (2.南京师范大学数学科学学院,江苏 南京 210023)
Author(s):
Hua Ting1Liang Zhibin2
(1.College of Science,Changzhou Institute of Technology,Changzhou 213002,China) (2.School of Mathematical Sciences,Nanjing Normal University,Nanjing 210023,China)
关键词:
调节系数跳扩散比例保险破产概率
Keywords:
adjustment coefficientjumpdiffusionproportional reinsuranceruin probability
分类号:
O211.63
文献标志码:
A
摘要:
考虑了一类新的保费原理——期望-标准差保费原理,基于此类新的保费原理之下,讨论了跳扩散(简称为J-D)模型中使得调节系数最大化的最优再保险问题,并且得到了最优再保险策略,最大调节系数和破产概率的最小指数上界的清晰表达式.最后通过数例和图表比较了J-D模型中有无再保险的情况.
Abstract:
In this paper,using a different premium principle—meanstandard deviation premium principle,we solve the optimal reinsurance problem in the jumpdiffusion(J-D for short)case to maximize the adjustment coefficient.The closedform expressions of the optimal reinsurance strategy,the maximal adjustment coefficient and a sharper bound for the ruin probability are also given.In the end,some numerical examples are presented to show the difference of with or without reinsurance in the J-D case.

参考文献/References:

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相似文献/References:

[1]李启才.两类保险业务时保险公司的调节系数和再保险策略[J].南京师范大学学报(自然科学版),2015,38(04):42.
 Li Qicai.Adjustment Coefficient and Reinsurance Policy UnderTwo Types Businesses for Insurer[J].Journal of Nanjing Normal University(Natural Science Edition),2015,38(02):42.
[2]华 婷,梁志彬.最大化调节系数的最优比例再保险和破产概率——扩散逼近模型[J].南京师范大学学报(自然科学版),2015,38(04):47.
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备注/Memo

备注/Memo:
收稿日期:2013-08-11.
基金项目:国家自然科学基金(11101215).
通讯联系人:梁志彬,教授,研究方向:随机过程在保险金融中的应用、风险管理与精算、随机最优控制.E-mail:05187@njnu.edu.cn
更新日期/Last Update: 2014-06-30