摘要翻译：
本文基于偿付能力和安全性优先的观点，考虑了偿付能力约束下大型保险公司面临再保险人要求的正交易费用时的正则-奇异随机最优控制问题。公司控制比例再保险和股息支付政策，以最大化股息支付的预期现值，直到破产。本文采用随机分析和偏微分方程方法，求出保险公司的最优留存率、股利支付水平和显性价值函数。结果表明，股利支付最大化和风险最小化之间存在一个最佳平衡点。本文还提出了一个基于风险的资本标准，以确保资本需求能够覆盖给定的总风险。我们给出了数值结果，分析了波动率、溢价率和风险水平等模型参数对基于风险的资本标准、最优保留率、最优股利支付水平和公司利润的影响。
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英文标题：
《Theoretical and numerical Analysis on Optimal dividend policy of an
  insurance company with positive transaction cost and higher solvency》
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作者：
Zongxia Liang and Jicheng Yao
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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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：
  Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency constraint. The company controls proportional reinsurance and dividend pay-out policy to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. The paper aims at deriving the optimal retention ratio, dividend payout level, explicit value function of the insurance company via stochastic analysis and PDE methods. The results present the best equilibrium point between maximization of dividend pay-outs and minimization of risks. The paper also gets a risk-based capital standard to ensure the capital requirement of can cover the total given risk. We present numerical results to make analysis how the model parameters, such as, volatility, premium rate, and risk level, impact on risk-based capital standard, optimal retention ratio, optimal dividend payout level and the company's profit.
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PDF链接：
https://arxiv.org/pdf/1005.1356