带比例再保险两个公司融合.pdfVIP

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©ÊÙ 1˜Ù´Úó1Ù´ý£§é©‘ ~2x*Ñ.?1 0§¿¦) `©ù.1nÙ· ‚ïÄ ü‡Ú`©ù.ƒ¼ê1 oÙ§·‚©Û üú i3KÜcÂÊœ¹1ÊÙ§·‚‰Ñ ü‡úiKÜ¿ ©^‡ 18Ù§?Ø .˜„zœ¹ …i: Kܧ`©ù§.üѧ‘BL§§~2x i ‘~2xü‡úiKÜ ON THE MERGER OF TWO COMPANIES WITH PROPORTIONAL REINSURANCE ABSTRACT In this paper, we mainly studied the merger of two companies with proportional reinsurance policy. We discuss the problem within the fram- work that the process evolves according to the diffusion processes. We solve this problem explicitly, if for each company the product of the valuation force of interest and the square of the square of the coefficient of variation of the aggregate net income process is less than 0.0687,the merger of two companies is better. This paper includes five chapters. The first chapter is introduction. In the second chapter, the diffusion model with proportional trinsurance and some useful results are introduced. In the third chapter, we find two func- tions related to the optimal barrier. In the forth chapter,we examines the situation before and after the merger. In the fifth chapter,we find a suffi- cient for merger. In the last chapter,we discuss the situation of generalized model. KEY WORDS: merger §optimal dividend §border policy §wiener pro- cess §proportional reinsurance ii ‘~2xü‡úiKÜ