常利率古典风险模型下的边界分红(英文)  

On a Barrier Strategy for the Classical Risk Process with Constant Interest Force

作　　者：马建静 吴荣[2] 

机构地区：[1]山东工商学院数学与信息科学学院,烟台264005 [2]南开大学数学科学学院,天津300071

出　　处：《工程数学学报》2009年第6期1133-1136,共4页Chinese Journal of Engineering Mathematics

基　　金：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。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.

关 键 词：古典风险模型 利率 边界分红 期望折现分红 

分 类 号：O211.6[理学—概率论与数理统计]