论文标题
多维投资组合中的最佳动态再保险策略
The Optimal Dynamic Reinsurance Strategies in Multidimensional Portfolio
论文作者
论文摘要
本文解决了一家在多个保险业务的保险公司中选择最佳动态再保险政策的问题，该政策是国家依赖的。最佳生存函数的特征在于相关的汉密尔顿 - 雅各比 - 贝尔曼方程（HJB）方程的独特非抵押粘度解决方案，并在无穷大时限制一个。有限差异方法（FDM）已用于最佳生存函数和最佳动态再保险策略的数值解，并提供了数值解决方案与生存概率函数的收敛证明。
The present paper addresses the issue of choosing an optimal dynamic reinsurance policy, which is state-dependent, for an insurance company that operates under multiple insurance business lines. The optimal survival function is characterized as the unique nondecreasing viscosity solution of the associated Hamilton-Jacobi-Bellman equation (HJB) equation with limit one at infinity. The finite difference method (FDM) has been utilized for the numerical solution of the optimal survival function and optimal dynamic reinsurance strategies and the proof for the convergence of the numerical solution to the survival probability function is provided.
