کنترل ریسک و توزیع سود سهام سیاست های مطلوب برای یک مدل انتشار با ارزش نهایی

There are two novelties in this paper. Firstly, we formulate the optimal control problem in terms of general reinsurance control policies. Each of the proportional reinsurance, the excess-of-loss reinsurance and combination of the two can be treated as a special case. It is shown that, under an expected premium principle, the dynamic excess-of-loss reinsurance is of optimal type within the general reinsurance contracts. Secondly, considering the excess-of-loss reinsurance policy and terminal value, we obtain the explicit expressions for the value function and optimal control policies by solving the HJB equation method. At the end of this paper numerical calculations are done to illustrate the influence of the terminal value on the value function and optimal policies as well.