常数分红界下两离散相依险种风险模型的分红问题  

Dividend payments with barrier strategy in the discrete-time interaction risk model

作　　者：彭丹[1] 侯振挺[2] 

机构地区：[1]湖南科技大学数学与计算科学学院,湖南湘潭411201 [2]中南大学数学与统计学院,湖南长沙410075

出　　处：《高校应用数学学报（A辑）》2015年第1期31-42,共12页Applied Mathematics A Journal of Chinese Universities(Ser.A)

基　　金：国家自科天元青年基金(11426100);湖南省自然科学青年基金(13JJ4083);湖南省社科基金(13YBB087);教育部人文社科青年基金(10YJC630144);湖南省教育厅科研项目(13C318);湖南省自科青年联合基金(2015JJ6041)

摘　　要：主要研究了常数分红界下两离散相依险种风险模型的分红问题.模型假定一个险种的主索赔以一定的概率引起另外一险种的副索赔,且副索赔可能延迟发生,推导了到破产前一时刻为止累积分红折现均值满足的差分方程,并得到了特殊索赔额下累积分红折现均值的具体表达式,最后结合实际例子进行了数值模拟.In this paper, a discrete-time interaction risk model with delayed claims and a constant dividend barrier is considered. the interaction comes from the assumption that each main claim in one class induces a by-claim in the other class with a certain probability. The occurrences of induced claim may be delayed. A system of difference equations with certain boundary conditions for the expected present value of total dividend payments prior to ruin is derived and solved. Explicit expressions for the corresponding results are derived in a special case, numerical examples are also given.

关 键 词：主索赔 副索赔 累积分红折现均值 

分 类 号：O211.6[理学—概率论与数理统计]