Optimal New Business for Insurer to Minimize the Ruin Probability under Interest Force

被引：0

作者：

聂高琴 ^{[1
]}

刘次华 ^{[2
]}

徐立霞 ^{[2
]}

机构：

[1] Department of Mathematics, Huazhong University of Science and Technology,Wuhan , China School of Statistics, Capital University of Economics and Business, Beijing , China

[2] Department of Mathematics, Huazhong University of Science and Technology,Wuhan , China

来源：

Journal of Southwest Jiaotong University(English Edition) | 2007年 / 01期

关键词：

New business; Ruin probability; Interest force; Hamilton-Jacobi-Bellman equation;

D O I：

暂无

中图分类号：

F840 [保险理论]; F224 [经济数学方法];

学科分类号：

120404 ; 020204 ; 0701 ; 070104 ;

摘要：

Under constant interest force, the risk processes for old and new insurance business are modelled by Brownian motion with drift. By the stochastic control method, the explicit expressions for the minimum ruin probability and the corresponding optimal strategy are derived. Numerical example shows that the minimum probability of ruin and the optimal proportion for new business decrease as the interest rate increases, and vice versa.

引用

页码：59 / 64

页数：6