CAJ | 학술논문

研究了保险精算中带利息力和交易费用的经典风险模型的最优分红策略问题，认为：在分红约束的情况下，以股东的折现分红减去惩罚折现注资的差的期望值最大化为目标，利用随机控制理论建立相应的HJB方程，最终得到相应的解，并得出最优分红策略，是Threshold策略。
연구료보험정산중대이식력화교역비용적경전풍험모형적최우분홍책략문제，인위：재분홍약속적정황하，이고동적절현분홍감거징벌절현주자적차적기망치최대화위목표，이용수궤공제이론건립상응적HJB방정，최종득도상응적해，병득출최우분홍책략，시Threshold책략。
Considering the classical risk model with optimal dividend payments under force of interest and transaction cost,with maximizing the discounted dividend payments minus the penalized discounted capital injections as the object the corresponding Hamilton-Jacobi-Bellman equation was built by stochastic control theory.A method to determine numerically the solution to the integro-differential equation was derived.It showed that the optimal strategy was threshold strategy.