经典风险模型最优分红值的估计方法(英文)  

Approxi mations of the Optimal Dividends Barrier in Classical Risk Model

作　　者：徐怀[1] 唐玲[2] 

机构地区：[1]安徽大学数学科学学院,安徽合肥230039 [2]安徽建筑工业学院数理系,安徽合肥230022

出　　处：《应用数学》2011年第3期512-518,共7页Mathematica Applicata

基　　金：Supported by the National Natural Science Foundation of China(10871001);the Talents Youth Fund of Anhui Province Universities(jq20070110)

摘　　要：本文考虑经典风险模型在障碍分红策略下的最优分红值的估计问题.当个体索赔额是混合指数分布时,给出最优分红值的解析表达式.但当个体索赔额是一般分布时,最优分红值的解析表达式往往不能得到,这时我们提供了两种估计方法,一是Lundberg渐近估计法,二是离散化模型估计法.最后给出几个数值例子,对不同计算方法下的估计值作出比较.We consider methods for estimating the optimal dividend barrier in the classical risk model If an individual claim is a mixtures of exponential probability density function, we obtain a closed form expression for expectation of the discounted dividends and exact value of the optimal dividends barrier. When the analytic result for expectation of the discounted dividends is unavailable, two methods are provided to estimate the optimal dividends barrier, one is by the famous Cramerlundberg asymptotic formula, the other is by discrete time model. For illustration, the approxi mare values of optimal dividends are compared numerically in a numerical example.

关 键 词：经典风险模型 最优分红值 混合指数分布 Lundberg渐近公式 离散模型 

分 类 号：O211.6[理学—概率论与数理统计]