| 完全信息下的最优保费控制问题研究 |
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| 引用本文： | 张瑞海.完全信息下的最优保费控制问题研究[J].价值工程,2011,30(36):222-223. |
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| 作者姓名： | 张瑞海 |
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| 作者单位： | 天津科技大学理学院,天津,300222 |
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| 基金项目： | 天津科技大学自然基金(20090220) |
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| 摘 要： | 应用最大值原理研究了一类完全信息下最优保费控制问题,考虑了折现因子为函数且具有终端条件限制的情况,建立了完全信息下的正倒向随机控制系统。获得了唯一的递归的最优保费策略。
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| 关 键 词： | 最大值原理 折现因子 终端条件 保费策略 |
The Research of Optimal Premium Policy under Full Information |
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| Zhang Ruihai.The Research of Optimal Premium Policy under Full Information[J].Value Engineering,2011,30(36):222-223. |
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| Authors: | Zhang Ruihai |
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| Institution: | Zhang Ruihai(College of Science,Tianjin University of Science & Technology,Tianjin 300222,China) |
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| Abstract: | An optimal premium control problem under full information was studied by applying maximum principle.The conditions with discount factor for function and terminal conditions are considered,a forward and backward stochastic control system was established and the only,recursively optimal premium strategy was obtained. |
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| Keywords: | maximum principle discount factor terminal condition premium strategy |
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