摘要翻译：
本文旨在介绍一个允许再保险和红利支付的保险模型。我们的模型处理几个同质合同，并考虑到关于保险公司证明其合理性的条款的立法。这转化为对公司允许覆盖的合同（最大）数量的一些限制。我们讨论了一个有控制的跳跃过程，其中一个人可以自由选择保留水平和红利数额。价值函数以最大期望贴现股利的形式给出。我们证明了这个值函数是某些一阶Hamilton-Jacobi-Bellman变分不等式的粘性解。此外，还提供了一个唯一性结果。
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英文标题：
《Insurance, Reinsurance and Dividend Payment》
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作者：
D. Goreac
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  The aim of this paper is to introduce an insurance model allowing reinsurance and dividend payment. Our model deals with several homogeneous contracts and takes into account the legislation regarding the provisions to be justified by the insurance companies. This translates into some restriction on the (maximal) number of contracts the company is allowed to cover. We deal with a controlled jump process in which one has free choice of retention level and dividend amount. The value function is given as the maximized expected discounted dividends. We prove that this value function is a viscosity solution of some first-order Hamilton-Jacobi-Bellman variational inequality. Moreover, a uniqueness result is provided.
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PDF链接：
https://arxiv.org/pdf/0804.3900