On the Optimal Control Problem for New Business

被引：0
|
作者：
Li, Zhendong [2 ]
Meng, Qingbin [1 ]
Liu, Yang [1 ]
Zhang, Yanru [3 ]
机构：
[1] Renmin Univ China, Sch Business, Beijing 100872, Peoples R China
[2] Tangshan Coll, Basic Educ Dept, Tangshan 063000, Peoples R China
[3] Natl BioEnergy Co Ltd, Beijing 100027, Peoples R China
来源：
INFORMATION COMPUTING AND APPLICATIONS, PT 2 | 2010年 / 106卷
关键词：
Optimal control problem; exponential utility function; HJB equation; OPTIMAL PROPORTIONAL REINSURANCE; OPTIMAL INVESTMENT; RISK PROCESS; RUIN; PROBABILITY; POLICIES; MODEL;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In actuary research field, optimal dividends problems for insurance companies are widely studied and recently, this area has become one of the hottest topics because that it is not only has the theoretical but also the practical importance. In this paper, the optimal control problem for the insurance which pursues new businesses is studied. The objective of our paper is to maximize the exponential utility function. Our contribution is that the explicit control policy and the maximal discounted utility are obtained by solving the HJB (Hamilton-Jaccobi-Bellman) equation.
引用
收藏
页码：367 / +
页数：2
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