随机利率下保险公司最优保费策略

J4 ›› 2013, Vol. 48 ›› Issue (3): 106-110.

• 论文 • 上一篇

随机利率下保险公司最优保费策略

孟祥波1,张立东1*,杜子平2

1.天津科技大学理学院, 天津 300457; 2.天津科技大学经济与管理学院, 天津 300222

收稿日期:2012-01-20 出版日期:2013-03-20 发布日期:2013-03-14
通讯作者: 张立东(1979- ),男,讲师,硕士研究生,研究方向为应用随机过程. Email:zhanglidong@tust.edu.cn
作者简介:孟祥波(1981- ),男,讲师,硕士研究生,研究方向为随机控制理论、金融数学. Email:mengxiangbo_1981@126.com
基金资助:
国家自然科学基金资助项目(71071111, 11201335);教育部人文社会科学研究基金一般项目(11YJC910007);天津科技大学科学研究基金资助项目(20110122)

Optimal premium policy of an insurance firm with stochastic interest rates

MENG Xiang-bo1, ZHANG Li-dong1*, DU Zi-ping2

1. College of Science, Tianjin University of Science ＆ Technology, Tianjin 300457, China;
2. College of Economics ＆ Management, Tianjin University of Science ＆ Technology, Tianjin 300222, China

Received:2012-01-20 Online:2013-03-20 Published:2013-03-14

摘要/Abstract

摘要：

研究了随机利率下保险公司所面临的最优化问题。决策者可以通过调节保费费率来控制其现金余额过程。在给出预定目标水平的前提下,通过最小化现金余额过程中的总偏差,得到了最优保费策略及最优成本函数。

关键词: 最优保费策略;随机利率;正倒向随机微分方程;哈密尔顿系统

Abstract:

The optimization problem was studied which an insurance firm faced under the stochastic interest rates. The decision-makers can control its cash-balance dynamics by adjusting the underlying premium rate. The firm’s objective is to minimize the total deviation of its cash-balance process. Thus the optimal premium policy and the optimal cost function were obtained.

Key words: optimal premium policy; stochastic interest rates; forward-backward stochastic differential equation; Hamiltonian system

孟祥波1,张立东1*,杜子平2. 随机利率下保险公司最优保费策略[J]. J4, 2013, 48(3): 106-110.

MENG Xiang-bo1, ZHANG Li-dong1*, DU Zi-ping2. Optimal premium policy of an insurance firm with stochastic interest rates[J]. J4, 2013, 48(3): 106-110.

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随机利率下保险公司最优保费策略

Optimal premium policy of an insurance firm with stochastic interest rates

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