英文标题：
《A note on optimal expected utility of dividend payments with
proportional reinsurance》
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作者：
Xiaoqing Liang and Zbigniew Palmowski
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最新提交年份：
2017
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英文摘要：
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer is of CRRA form. By solving the corresponding Hamilton-Jacobi-Bellman equation, we identify the value function and the corresponding optimal strategy. We also analyze the asymptotic behavior of the value function for large initial reserves. Finally, we provide some numerical examples to illustrate the results and analyze the sensitivity of the parameters.
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中文摘要：
在本文中，我们考虑了通过购买比例再保险来控制风险敞口的保险公司的股息支付的预期贴现效用最大化问题。我们假设保险人的偏好是CRRA形式。通过求解相应的Hamilton-Jacobi-Bellman方程，我们确定了价值函数和相应的最优策略。我们还分析了大初始储量价值函数的渐近行为。最后，我们提供了一些数值例子来说明结果并分析参数的敏感性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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