Optimal Dividend Strategies in a Double Compound Poisson Risk Process  

作　　者：LI Shijun MING Ruixing HUANG Longshengt 

机构地区：[1]School of Mathematics and Information Sciences, JiangxiNormal University, Nanchang 330022, Jiangxi, China [2]School of Management, University of Science andTechnology of China, Hefei 230026, Anhui, China [3]School of Sciences, Zhejiang Agriculture and ForestUniversity, Lin'an 311300, Zhejiang, China

出　　处：《Wuhan University Journal of Natural Sciences》2011年第2期133-138,共6页武汉大学学报（自然科学英文版）

基　　金：Supported by the Natural Science Foundation of Jiangxi Province (2008GQS0035);the Foundation of Zhejiang Provincial Education Department Research Projects (Y200803009)

摘　　要：In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certain boundary conditions for the present value of dividends until ruin. When the claims from both classes are exponentially distributed, we show that the threshold dividend strategy is an optimal dividend strategy.In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certain boundary conditions for the present value of dividends until ruin. When the claims from both classes are exponentially distributed, we show that the threshold dividend strategy is an optimal dividend strategy.

关 键 词：double compound Poisson process the value function integro-differential equation threshold dividend strategy generalized Lundberg’s fundamental equation 

分 类 号：O211.9[理学—概率论与数理统计]