| 常利率古典风险模型下的边界分红(英文) |
| |
| 引用本文： | 马建静,吴荣.常利率古典风险模型下的边界分红(英文)[J].工程数学学报,2009,26(6). |
| |
| 作者姓名： | 马建静 吴荣 |
| |
| 作者单位： | 马建静(山东工商学院数学与信息科学学院,烟台,264005);吴荣(南开大学数学科学学院,天津,300071) |
| |
| 基金项目： | The National Natural Science Foundation of China (10871102); the Research Fund for the Doctorial Program of Higher Education |
| |
| 摘 要： | 在这篇文章中,我们考虑一个最早由Bruno De Finetti提出的问题,风险被描述为带有常利率的古典风险过程。红利按照带常数界的边界策略发放。当盈余量达到常数界时,所有的保费收入不再计入盈余,而是作为红利分发给债券持有人。利用过程的马尔可夫性,我们得到了累积期望折现分红函数的显式解。
|
| 关 键 词： | 古典风险模型 利率 边界分红 期望折现分红 |
On a Barrier Strategy for the Classical Risk Process with Constant Interest Force |
| |
| MA Jian-jing,WU Rong.On a Barrier Strategy for the Classical Risk Process with Constant Interest Force[J].Chinese Journal of Engineering Mathematics,2009,26(6). |
| |
| Authors: | MA Jian-jing WU Rong |
| |
| Affiliation: | MA Jian-jing1,WU Rong2(1-Department of Mathematics,Shandong Institute of Business and Technology,Yantai 264005,2-Department of Mathematics and LPMC,Nankai University,Tianjin 300071) |
| |
| Abstract: | In this paper,we consider a problem that is due to Bruno De Finetti.The risk is described as the classical risk process with constant interest force.Dividends are paid according to a constant dividend barrier strategy.When the process reaches the barrier,all the premium income no longer goes into the surplus but is paid out as dividends to shareholders.Using the Markov property of the risk process,we obtain the explicit expression for the expectation of aggregate discounted dividends until ruin. |
| |
| Keywords: | classical risk process interest force barrier strategy the expectation of aggregate dividends |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
