带破产赤字补偿的Omega模型最大分红问题  

Maximizing Dividends of Omega Model Under Ruin Deficit Remedy

作　　者：喻军[1] 李亮[2] 张玉霞[2] 

机构地区：[1]南开大学数学科学学院,天津300071 [2]郑州航空工业管理学院数理系,河南郑州450015

出　　处：《南开大学学报（自然科学版）》2013年第6期86-92,共7页Acta Scientiarum Naturalium Universitatis Nankaiensis

摘　　要：研究了Omega模型下带破产赤字补偿的最优分红问题,通过积分-微分方程,推导出Omega模型下的最优分红模型,以及带Dichson-Waters修正的Omega最大分红模型.当索赔额分布是指数分布、破产率函数ω(x)恒为常数时,求解了两种模型下的最优分红边界的表达式,最后,通过数值试验验证了相关结论.Maximizing dividends of Omega model under ruin deficit remedy is investigated.The model considers the influence of dividends on the bankruptcy probability.The optimal dividend barrier of the Omega model is obtained.A new dividend model with Dichson-Waters modification is presented.An integro-differential equation is derived and solved.The special cases where the claim size distribution is exponential and the bankruptcy rate function is always constant are considered.The explicit expressions of the two optimal dividends barriers are derived.Numerical examples are given and the results are compared.

关 键 词：Omega模型 最大分红 破产赤字补偿 

分 类 号：O211.6[理学—概率论与数理统计]