| Optimal New Business for Insurer to Minimize the Ruin Probability under Interest Force |
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| 作者姓名： | 聂高琴 刘次华 徐立霞 |
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| 作者单位： | Department of Mathematics Huazhong University of Science and Technology，Wuhan 430074 China School of Statistics Capital University of Economics and Business Beijing 100070 China，Department of Mathematics Huazhong University of Science and Technology，Wuhan 430074 China，Department of Mathematics Huazhong University of Science and Technology，Wuhan 430074 China |
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| 基金项目： | The National Natural Science Foundations of China （No. 10301011 and No. 70271069） |
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| 摘 要： | Introduction In ruin theory, minimizing the ruin probability ofan insurance company is of practical importance. Bystochastic control theory, a great deal of work hasbeen done on the problem with different control varia-bles. Browne1]considered a risk mod…
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| 关 键 词： | 保险组织 利益集团 破产概率 投资 |
| 文章编号： | 1005-2429（2007）01-0059-06 |
| 收稿时间： | 2006-03-16 |
Optimal New Business for Insurer to Minimize the Ruin Probability under Interest Force |
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| NIE Gao-qin,LIU Ci-hua,XU Li-xia.Optimal New Business for Insurer to Minimize the Ruin Probability under Interest Force[J].Journal of Southwest Jiaotong University,2007,15(1):59-64. |
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| Authors: | NIE Gao-qin LIU Ci-hua XU Li-xia |
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| Abstract: | Under constant interest force, the risk processes for old and new insurance business are modelled by Brownian motion with drift. By the stochastic control method, the explicit expressions for the minimum ruin probability and the corresponding optimal strategy are derived. Numerical example shows that the minimum probability of ruin and the optimal proportion for new business decrease as the interest rate increases, and vice versa. |
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| Keywords: | New business Ruin probability Interest force Hamilton-Jacobi-Bellman equation |
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