常利率下漂移布朗运动的分红问题(英文)  

Dividend Problem in Brownian Motion with Drift by the Inclusion of Constant Interest

作　　者：孟辉[1] 张春生[2] 

机构地区：[1]中央财经大学中国精算研究院,北京100081 [2]南开大学数学科学学院,天津300071

出　　处：《南开大学学报（自然科学版）》2008年第6期95-98,共4页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：Supported by the National Natural Science Foundation of China (10571092,10571132)

摘　　要：假设公司的收入过程是一个漂移布朗运动,除此,公司还赚取利息收入.按照门槛策略,红利被分到股东手中:当资本余额低于某个固定水平时,没有红利付出;当资本余额高于这个水平时,红利以一个常数率(低于保费率)连续付出.我们取得期望折扣分红满足的一些积分-微分方程,进一步得到了它的详细表达.The income process of a company is modeled by a Brownian motion with drift, and in additions the surplus earns investment income in constant rate. Dividends are paid to the shareholders according to a threshold strategy： whenever the （modified） surplus is below some level, no dividends are paid; whenever the modified surplus is above the level, dividends are paid continuously with a constant rate （less than the premium rate）. We obtain that the expected discounted dividends satisfies some integro-differential equations, further derive its explicit expressions.

关 键 词：布朗运动 门槛策略 分红 合流超几何方程 

分 类 号：O211.6[理学—概率论与数理统计]