The Optimal Dividend Barrier in the Perturbed Compound Poisson Risk Model with Randomized Observation Time  

作　　者：LIU Xiao CHEN Zhenlong MING Ruixing 

机构地区：[1]School of Statistics and Mathematics,Zhejiang Gongshang University

出　　处：《Journal of Systems Science & Complexity》2015年第2期451-470,共20页系统科学与复杂性学报（英文版）

基　　金：supported by the National Natural Science Foundation of China under Grant No.11371321;the Key Research Base for Humanities and Social Sciences of Zhejiang Provincial High Education Talents(Statistics of Zhejiang Gongshang University)

摘　　要：This paper considers the dividend problems in the perturbed compound Poisson risk model.Assume that dividends can only be paid at the observation time when the surplus exceeds the barrier level and the excess is paid as dividend.In this paper,integro-differential equations for the expected discounted dividends until ruin and the Laplace transform of ruin time are firstly derived.When the claim is exponentially distributed,explicit expressions for the expected discounted dividends until ruin and the Laplace transform of ruin time are also obtained.Finally,the optimal dividend barrier which maximizes the expected discounted dividends until ruin is given.

关 键 词：Barrier strategy DIVIDEND perturbed compound Poisson risk model ruin. 

分 类 号：F832.51[经济管理—金融学] O224[理学—运筹学与控制论]