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Injected with the utility function of the classical risk model optimal dividend problem

Author: ShiSuQin
Tutor: LiuGuoXin
School: Hebei University of Technology
Course: Applied Mathematics
Keywords: Utility function Optimal dividend Injection HJB equation Border Policy
CLC: F840.3
Type: Master's thesis
Year: 2010
Downloads: 25
Quote: 0
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Abstract


This paper studies the classical model with injection of optimal dividend problem and consider the process of the insurance company 's dividend exponential utility , the introduction of the utility function control dividends. The course of business in the company when the company reaches zero or negative earnings to recapitalize the company to continue operating surplus is positive , the process of considering inject inject penalty function . Goal of this paper is to seek insurance company utility function under the maximum expected discounted net that time the company's accumulated profits generated bankrupt utility minus the discounted value of expected capital injection . On this issue come Hamilton-Jacobi-Bellman equation, proving that the optimal strategy is the border strategies , analyze the nature of the value of the function . Claims under the index , and seek the optimal solution.

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory > Insurance organization and management
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