具有随机保费风险模型的最优分红策略(英文)  

Optimal Dividend Strategy under the Risk Model with Stochastic Premium

作　　者：项明寅[1] 危佳钦[2] 

机构地区：[1]黄山学院数学系,黄山245041 [2]华东师范大学金融与统计学院,上海200241

出　　处：《应用概率统计》2011年第1期39-47,共9页Chinese Journal of Applied Probability and Statistics

基　　金：supported by Anhui Province Youth Foundation(2009SQRZ166);National Natural Science Foundation of China(10971068);National Basic Research Program of China(973 Program)(2007CB814904);Program for New Century Excellent Talents in University(NCET-09-0356)

摘　　要：与经典Craméer-Lundberg风险模型中保费收取过程是时间的线性函数不同, 我们考虑聚合的保费收取过程是复合Poisson过程, 研究了在此模型下的常数分红策略问题. Dickson和Waters(2004)指出在破产发生时,股东还应有责任偿付破产时的赤字. 因此, 在本文中考虑的最优准则是最大化破产发生前的分红折现值与破产发生时赤字的差的期望. 做为例子, 当个体保费收取额和索赔额均为指数分布时, 给出了计算分红障碍的条件.In contrast with the classical Cram＇er-Lundberg model where the premium process is a linear function of time,we consider the constant barrier strategy under the risk model where the aggregate premium process is modeled as a compound Poisson process.Dickson and Waters（2004） pointed out that the shareholders should be liable to cover the deficit at ruin.Thus,the optimization criteria considered in this paper is maximizing the expectation of the difference between discounted dividends until ruin and the deficit at ruin.As an illustration,the condition of the optimal barrier is calculated in the case where the individual stochastic premium amount and claim amount are exponential distributed.

关 键 词：分红 常数分红策略 随机保费 复合POISSON过程 指数分布 

分 类 号：F224.9[经济管理—国民经济]