阈值分红策略下带常利率的对偶风险模型  

Dividend Payments with Constant Interest and A Threshold Strategy in the Dual Model

作　　者：何庆国[1] 何传江[1] 

机构地区：[1]重庆大学数学与统计学院,重庆401331

出　　处：《经济数学》2012年第4期67-70,共4页Journal of Quantitative Economics

基　　金：重庆市科委自然科学基金计划资助项目(CSTC;2010BB9218)

摘　　要：研究了常利率下基于对偶复合泊松模型带阈值的分红策略,给出了公司在破产时累积红利期望现值函数的两个积分-微分方程,分情况讨论了收益服从指数分布时的显示表达式,以及服从一般分布时的拉普拉斯变换表达式.This paper considers the dividend payments with constant interest and a threshold strategy in the dual model. Two integro differential equations for the expected discounted dividends until ruin are derived and solved when the individual profit size distribution is exponential. Finally, the equations are discussed in the case of a general profit distribution by the use of Laplace transforms.

关 键 词：对偶模型 常利率 阈值分红 LAPLACE变换 

分 类 号：O211.6[理学—概率论与数理统计]