带注资的最优脉冲分红问题研究.pdfVIP

河北工业大学 硕士学位论文 带注资的最优脉冲分红问题 姓名：郑庆云 申请学位级别：硕士 专业：应用数学 指导教师：刘国欣 ÆÆ  ÆÆ  Æ Æ Æ verification ℄ Q-V-I Q-V-I  QVI i OPTIMAL DIVIDEND PAYMENTS AND REINVESTMENTS OF THE INSURANCE COMPANY WITH FIXED AND PROPORTIONAL TRANSACTION COSTS ABSTRACT In this paper, we mainly studied the optimal problem of the insurance company with proportional reinsurance policy. We consider a diffusion risk model with dividend payments and capital injections. whenever assets reach zero, they have to reinvest money, so that assets has to stay positive. With each dividend payment there’s a fixed and a proportional cost, and so with reinvestments. Thereby, the resulting mathematical problem becomes a mixed classical-impulse stochastic control problem. The goal is to maximize expected value of discounted net cash flow, i.e. dividends paid minus reinvestments. We solve this problem explicitly and construct the value function together with the optimal policy. We also provide a analytical part of the solution and find some caracterisations. This paper includes four chapters. The first chapter is introduction. In the second chapter, the diffusion model with both fixed and proportional cost and some useful results are introduced. The verification theory and Quasi-variational inequality is embodied in the third and the forth of this paper. And the