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研究了随机利率下保险公司所面临的最优化问题。决策者可以通过调节保费费率来控制其现金余额过程。在给出预定目标水平的前提下,通过最小化现金余额过程中的总偏差,得到了最优保费策略及最优成本函数。
The optimization problem faced by insurance companies under stochastic interest rates is studied. Policymakers can control their cash balances by adjusting premium rates. Given the target level, we obtain the optimal premium strategy and the optimal cost function by minimizing the total deviation in the cash balance.