【摘要】 该文在扩散风险模型中研究随机时间区间最优分红和再保险问题.假设应用比例再保险策略,随机时间服从指数分布,若破产时刻先于随机时刻到来,则在破产时刻存在一个固定数额的非负价值;若随机时刻先于破产时刻到来,则在随机时刻存在另一个固定数额的非负价值,得到了最优分红和再保险策略,以及值函数的表达式,并给出一个数值例子.更多还原

【Abstract】 This paper studies the optimal dividend and reinsurance problems in the diffusion risk model with random time horizon.Assume that the proportional reinsurance strategy is applied,the random time is exponentially distributed,and if the random time comes before ruin,a fixed nonnegative value exists,otherwise another fixed nonnegative value exists,the optimal dividend and reinsurance strategies and the explicit expressions of the value function are obtained,and a numerical example is presented.更多还原