On Optimality of the Barrier Strategy for the Classical Risk Model with Interest  

作　　者：Ying Fang Rong Wu 

机构地区：[1]Department of Mathematics, Shandong Normal University, Jinan 250014, China [2]Department of Mathematics and LPMC, Nankai University, Tianjin 300071, China

出　　处：《Acta Mathematicae Applicatae Sinica》2011年第1期75-84,共10页应用数学学报（英文版）

基　　金：Supported by National Basic Research Program of China (973 Program) (No. 2007CB814905);National Natural Science Foundation of China (No. 10871102,10926161 and 71071088);the Research Fund for the Doctorial Program of Higher Education

摘　　要：In this paper, we consider the optimal dividend problem for a classical risk model with a constant force of interest. For such a risk model, a sufficient condition under which a barrier strategy is the optimal strategy is presented for general claim distributions. When claim sizes are exponentially distributed, it is shown that the optimal dividend policy is a barrier strategy and the maximal dividend-value function is a concave function. Finally, some known results relating to the distribution of aggregate dividends before ruin are extended.In this paper, we consider the optimal dividend problem for a classical risk model with a constant force of interest. For such a risk model, a sufficient condition under which a barrier strategy is the optimal strategy is presented for general claim distributions. When claim sizes are exponentially distributed, it is shown that the optimal dividend policy is a barrier strategy and the maximal dividend-value function is a concave function. Finally, some known results relating to the distribution of aggregate dividends before ruin are extended.

关 键 词：Optimal dividend strategy barrier strategy confluent hypergeometric function INTEREST 

分 类 号：O211.6[理学—概率论与数理统计] O225[理学—数学]