在随机时间偿付能力监管下实现遗赠目标的最优投资和再保险

IF 1.6 4区计算机科学 Q3 AUTOMATION & CONTROL SYSTEMS

International Journal of Control Pub Date : 2024-04-18 DOI:10.1080/00207179.2024.2338909

Lin Xu, Kun Fan, Minghan Wang, Dingjun Yao

引用次数: 0

摘要

本文研究了马尔可夫制度转换模型和随机时间偿付能力监管下保险公司的最优投资和比例再保险政策。保险公司的目标是最大限度地提高其偿付能力。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimal investment and reinsurance to reach a bequest goal with random time solvency regulation

This paper studies optimal investment and proportional reinsurance policies for an insurer with Markov regime-switching model and random time solvency regulation. The goal of the insurer is to maxi...

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来源期刊

International Journal of Control 工程技术-自动化与控制系统

CiteScore

5.00

自引率

9.50%

发文量

197

审稿时长

5.3 months

期刊介绍： The International Journal of Control publishes top quality, peer reviewed papers in all areas, both established and emerging, of control theory and its applications. Readership: Development engineers and research workers in industrial automatic control. Research workers and students in automatic control and systems science in universities. Teachers of advanced automatic control in universities. Applied mathematicians and physicists working in automatic control and systems analysis. Development and research workers in fields where automatic control is widely applied: process industries, energy utility industries and advanced manufacturing, embedded systems and robotics.