Acta mathematica scientia, Series B >
OPTIMAL PROPORTIONAL REINSURANCE WITH CONSTANT DIVIDEND BARRIER
Received date: 2007-05-16
Revised date: 2008-04-30
Online published: 2010-05-20
Supported by
Supported in part by the National Natural Science Foundation of China and the Ministry of Education of China
In this article, we consider an optimal proportional reinsurance with constant dividend barrier. First, we derive the Hamilton-Jacobi-Bellman equation satisfied by the expected discounted dividend payment, and then get the optimal stochastic control and the optimal constant
barrier. Secondly, under the optimal constant dividend barrier strategy, we consider the moments of the discounted dividend payment and their explicit expressions are given. Finally, we discuss the Laplace transform of the time of ruin and its explicit expression is also given.
YUAN Hai-Li , HU Yi-Jun . OPTIMAL PROPORTIONAL REINSURANCE WITH CONSTANT DIVIDEND BARRIER[J]. Acta mathematica scientia, Series B, 2010 , 30(3) : 791 -798 . DOI: 10.1016/S0252-9602(10)60078-1
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