具有边界分红策略的离散相依风险模型

J4 ›› 2011, Vol. 46 ›› Issue (3): 63-68.

具有边界分红策略的离散相依风险模型

高珊^1,2,刘再明^2*

1. 阜阳师范学院数学与计算科学学院, 安徽阜阳 236041; 2. 中南大学数学科学与计算技术学院, 湖南长沙 410075

收稿日期:2010-06-27 发布日期:2011-04-21
通讯作者: 刘再明(1961- ), 男, 教授, 博士生导师, 研究方向为随机过程, 马氏过程, 统计学, 排队论,保险理论. Email: zmliu@csu.edu.cn
作者简介:高珊(1975- ),女,副教授,博士研究生,主要研究方向为排队论和保险理论.Email:sgao-09@yeah.net

On a correlated discrete risk model with constant dividend barrier

GAO Shan ^1,2, LIU Zai-ming^2*

1. School of Mathematics and Computational Science, Fuyang Normal College, Fuyang 236041, Anhui, China;
2. School of Mathematical Science and Computing Technology, Central South University, Changsha 410075, Hunan, China

Received:2010-06-27 Published:2011-04-21

摘要/Abstract

摘要：

研究了具有常红利边界的复合二项风险模型,该模型包含了两类相依的索赔:主索赔和副索赔。通过引入辅助风险模型的方法,推导了破产前红利折现期望满足的差分方程及其解，并给出了两个特殊索赔分布情况下的数值例子。

关键词: 风险模型;主索赔;副索赔;红利

Abstract:

A compound binomial risk model with constant dividend barrier was considered. Two types of individual claims, main claims and by-claims, were defined. By introducing an auxiliary risk model, a system of difference equations with boundary conditions for the expected present value of dividend payments due until ruin was derived and solved. Numerical results were given for two special claim-size distributions.

Key words: risk model; main claim; by-claim; dividend

高珊1,2,刘再明2*. 具有边界分红策略的离散相依风险模型[J]. J4, 2011, 46(3): 63-68.

GAO Shan 1,2, LIU Zai-ming2*. On a correlated discrete risk model with constant dividend barrier[J]. J4, 2011, 46(3): 63-68.

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