Optimal Control Strategies for the Premium Policy of an Insurance Firm with Jump Diffusion Assets and Stochastic Interest Rate

In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed be described by differential equation driven Teugels martingales. Noticing that able dynamics regulating underlying premium rate, aim of policy maker select appropriate order minimize total deviation state some pre-set target level. As part maximum principle approach, verification theorem used fulfill achievement.