论文标题
最佳投资，责任比率和股息策略的扰动方法
A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies
论文作者
论文摘要
我们为保险公司研究一个最佳的股息问题，该保险公司同时控制金融市场中的投资权重，保险业业务的责任率和股息支付利率。保险公司寻求最佳策略，以最大程度地提高她预期的股息支付效用。通过采用扰动方法，我们获得了最佳策略，并以封闭形式的日志和功率实用程序获得价值函数。我们进行经济分析，以研究各种模型参数的影响，并规避风险对保险公司的最佳战略的影响。
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize her expected utility of dividend payments over an infinite horizon. By applying a perturbation approach, we obtain the optimal strategy and the value function in closed form for log and power utility. We conduct an economic analysis to investigate the impact of various model parameters and risk aversion on the insurer's optimal strategy.
