常数红利下带税收的最优投资与再保险策略

摘要

In the situation of the presence of tax and the constant dividend barrier, for the diffusion risk model, insurance company invest surplus in risk-free asset and a risky asset, and spread the risk through the proportional reinsurance. We obtain the closed-form expressions of the maximal expected discounted dividend, the optimal investment and reinsurance strategy by solving the HJB equation.%在常数边界分红策略及存在税收的情形下，对于扩散风险模型，保险公司将盈余投资于无风险资产与一种风险资产，且通过比例再保险来分散风险，通过求解HJB方程，得到了最大期望折现红利，最优投资与再保险策略的显示表达式。