Study on financial decision-making timing of the insurance company-Based on homogeneous diffusion process with two-sided barriers

摘要：

We use a homogeneous diffusion process with two reflecting barriers to characterize the overall surplus process of the insurance companies, and research the selection of the insurance companys investment timing, financing timing and dividend timing. In the model, the low value is the minimum surplus of the companys normal operations, and the upper value is the minimum surplus that the company will pay dividend (or invest). If the companys surplus bellows the low level, then the capital should be injected (or borrowed) to ensure the companys normal operations; while the surplus achieves to the high level, all the excess part can be used for dividend (or investment). The first time that the companys surplus reaches a certain value between the upper and the low level is defined as the hitting time, and its Laplace transform can be obtained. During the insurance companys business process, the investment timing and financing timing must be appropriate, therefore, the hitting time has guiding signif icance to choose the insurance companys financial decision-making timing, that is, when the company needs financing, investment and with funding.

关键词： Financial decision-making timing hitting time homogeneous diffusion process reflecting barriers Laplace transform

作者: Wang Huiqing Chen Lianghua Zhang Fang

作者单位: School of Economics and Management, Southeast University, Jiangsu 211189, China

会议类型: 国际会议

会议名称: The 1st International Conference on Sustainable Construction & Risk Management(首届可持续建设与风险管理国际会议)

会议地点: 重庆

会议语种:英文

页码: 707-711

在线出版日期: 2010-06-12（万方平台首次上网日期，不代表论文的发表时间）