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Optimal dividend policy of a large insurance company with positive transaction cost under higher solvency and security
Regular-singular stochastic optimal control Solvency Stochastic
2010/10/20
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 a...
Optimal dividend and investing control of a insurance company with higher solvency constraints
Optimal dividend policy Optimal return function Solvency
2010/10/20
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing pro...