对偶风险模型最优分红值的离散估计方法

J4 ›› 2012, Vol. 47 ›› Issue (5): 115-121.

对偶风险模型最优分红值的离散估计方法

徐怀

安徽大学数学科学学院, 安徽合肥 230039

收稿日期:2011-06-13 出版日期:2012-05-20 发布日期:2012-06-01
作者简介:徐怀(1976- ), 男, 讲师, 主要研究方向为风险数学. Email: xuhuai@ahu.edu.cn
基金资助:
安徽省高校青年教师资助项目(2007gq1016)

Discrete approximation of the optimal dividend barrier in the dual risk model

XU Huai

School of Mathematics, Anhui University, Hefei 230039, Anhui, China

Received:2011-06-13 Online:2012-05-20 Published:2012-06-01

摘要/Abstract

摘要：

在累计收入过程为复合泊松过程的对偶风险模型中，考虑了在障碍分红策略下的最优分红值的计算问题。首先应用Laplace 变换得出最优分红值的精确解，当精确解无法得到时，应用离散的对偶风险模型来估计最优分红值。最后给出两个数值的例子加以说明，并对计算结果做出评价。

关键词: 对偶风险模型; 离散风险模型; 最优分红; Laplace变换; 离散估计

Abstract:

The optimal dividend barrier of the dual risk model under a barrier dividend strategy is considered in this paper. First the exact solution of the optimal dividend barrier is presented by Laplace transform. When analytic results are unavailable, the discrete time dual risk model can be used to provide approximations for the optimal dividend barrier. For illustration, the approximate values of optimal dividends are numerically compared in two numerical examples.

Key words: dual risk model; discrete risk model; optimal dividend barrier; Laplace transform; discrete approximation

徐怀. 对偶风险模型最优分红值的离散估计方法[J]. J4, 2012, 47(5): 115-121.

XU Huai. Discrete approximation of the optimal dividend barrier in the dual risk model[J]. J4, 2012, 47(5): 115-121.

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