| This paper is about cash-balance model. The insurance company intends to optimizethe target functional in the model which describes the operation risk by adjusting premiumpolicy. In fact, this article owns two unique features. First, the advanced mathematical tool,FBSDE, is employed systematically in this paper. Second, we apply Lagrange multiplier tothe constraint of the state equation in order to simplify the problem. To sum up, we havemade a complete and thorough analysis about the problem of optimal policy of an insurancefirm under fixed interest. |
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