具有混合指数索赔分布的经典复合泊松风险模型中的分红问题（英文）  

DIVIDEND PROBLEMS IN THE CLASSICAL COMPOUND POISSON RISK MODEL WITH MIXED EXPONENTIALLY DISTRIBUTED CLAIM SIZE

作　　者：王翠莲[1] 

机构地区：[1]安徽师范大学数学计算机科学学院,安徽芜湖241003

出　　处：《数学杂志》2015年第3期559-566,共8页Journal of Mathematics

基　　金：Supported by the Nation Natural Science Foundation of China(11201005)

摘　　要：本文研究了具有某混合指数索赔分布的经典复合泊松风险模型中的分红问题.利用随机控制理论,在无界分红强度的假设下,给出了值函数的显式表达式和相应的最优分红策略.推广了文献[4]的结果.This paper studies the dividend problems in the classical compound Poisson risk model with some mixed exponentially distributed claim size. By using stochastic control theory, under the unbounded dividend intensity assumption, the explicit expression for the value function is obtained and the corresponding optimal dividend strategy is given, which generalize the results of [4].

关 键 词：分红 混合指数分布 HJB方程 

分 类 号：O212.62[理学—概率论与数理统计]