Dividend-Reinsurance Strategy in the Sparre Andersen Model  

作　　者：Ji Yang TAN Lin XIAO Shao Yue LIU Xiang Qun YANG 

机构地区：[1]Department of Statistics,Xiangtan University [2]HPCSIP Key Laboratory,Ministry of Education [3]Department of Mathematics,Hu'nan Normal University

出　　处：《Acta Mathematica Sinica,English Series》2013年第2期405-416,共12页数学学报（英文版）

基　　金：Supported by National Natural Science Foundation of China(Grant No.10871064);Scientific Research Funds of Hu'nan Provincial Education Department(08C883);Hu'nan Provincial Science and Technology Department(2009FJ3141)

摘　　要：In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance strategy. It is shown that the value function of the new strategy far exceeds that of the optimal barrier strategy （even that of the optimal dividend strategy）. Some results on the advantages of the new strategy are obtained, and the methods for computing the value functions are provided. Numerical illustrations for Erlang （2） and compound Poisson risk models are also given.In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance strategy. It is shown that the value function of the new strategy far exceeds that of the optimal barrier strategy （even that of the optimal dividend strategy）. Some results on the advantages of the new strategy are obtained, and the methods for computing the value functions are provided. Numerical illustrations for Erlang （2） and compound Poisson risk models are also given.

关 键 词：Sparre Andersen model REINSURANCE expected discounted penalty function ITERATION constant dividend barrier 

分 类 号：F840[经济管理—保险] O211.67[理学—概率论与数理统计]