王磊

个人信息Personal Information

教授

博士生导师

硕士生导师

主要任职:数学科学学院副院长

其他任职:石河子大学理学院院长(援疆)

性别:男

毕业院校:大连理工大学

学位:博士

所在单位:数学科学学院

学科:运筹学与控制论

电子邮箱:wanglei@dlut.edu.cn

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STOCHASTIC MAXIMUM PRINCIPLE FOR PARTIAL INFORMATION OPTIMAL INVESTMENT AND DIVIDEND PROBLEM OF AN INSURER

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论文类型:期刊论文

第一作者:Wang, Yan

通讯作者:Wang, L (reprint author), Dalian Univ Technol, Sch Math Sci, Dalian 116023, Peoples R China.

合写作者:Zhao, Yanxiang,Wang, Lei,Song, Aimin,Ma, Yanping

发表时间:2018-04-01

发表刊物:JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION

收录刊物:SCIE、SSCI

卷号:14

期号:2

页面范围:653-671

ISSN号:1547-5816

关键字:Optimal investment; dividend; insurance claim process; maximum principle; regular-singular stochastic control; partial information

摘要:We study an optimal investment and dividend problem of an insurer, where the aggregate insurance claims process is modeled by a pure jump Leevy process. We allow the management of the dividend payment policy and the investment of surplus in a continuous-time financial market, which is composed of a risk free asset and a risky asset. The information available to the insurer is partial information. We generalize this problem as a partial information regular-singular stochastic control problem, where the control variable consists of regular control and singular control. Then maximum principles are established to give sufficient and necessary optimality conditions for the solutions of the regular-singular control problem. Finally we apply the maximum principles to solve the investment and dividend problem of an insurer.