具有传染性索赔到达的保险公司的最优股利政策

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-01-01 DOI:10.3934/mcrf.2020024

Yiling Chen, B. Bian

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引用次数: 1

摘要

本文研究了一类保险公司的最优股利问题，其盈余遵循经典的具有自激特征的Cramer-Lundberg过程。应用Hawkes流程，以便索赔中的一个跳转触发更多后续跳转。我们证明了最优值函数是具有给定边界条件的相关Hamilton-Jacobi-Bellman方程的唯一黏度解，并声明了其凹性。引入了一种障碍曲线策略，并验证了其最优性。最后给出了一些数值结果。

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 dividend policy in an insurance company with contagious arrivals of claims

In this paper we consider the optimal dividend problem for an insurance company whose surplus follows a classical Cramer-Lundberg process with a feature of self-exciting. A Hawkes process is applied so that the occurrence of a jump in the claims triggers more sequent jumps. We show that the optimal value function is a unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation with a given boundary condition and declare its concavity. We introduce a barrier curve strategy and verify its optimality. Finally, some numerical results are exhibited.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.