一类离散风险模型中的随机分红问题研究  

Randomized Dividends in A Discrete Time Risk Model

作　　者：刘海燕 杨晨 陈密 LIU Hai-yan;YANG Chen;CHEN Mi(College of Mathematics and Informatics,Fujian Normal University,Fuzhou 350117,China)

机构地区：[1]福建师范大学数学与信息学院,福建福州350117

出　　处：《福建师范大学学报（自然科学版）》2018年第5期1-5,共5页Journal of Fujian Normal University：Natural Science Edition

基　　金：国家自然科学基金资助项目(11701087;11701088;11601083);福建省自然科学基金资助项目(2018J05003;2016J05002);福建省教育厅资助项目(JAT160130)

摘　　要：复合二项风险模型是一类非常重要的离散风险模型,目前受到了很多学者的密切关注.对复合二项风险模型做一些推广,将随机保费收入和随机分红策略引入到复合二项风险模型中,并研究该模型下的随机分红问题.运用母函数的方法,得到了保险公司直到破产前的期望累积折现分红量的递推公式和初值.最后,通过一个数值例子直观地阐述了所得的结果.The compound binomial risk model is an important discrete time risk model,and it has been studied by many authors. In this paper,the compound binomial model is extended by involving stochastic premium income and randomized dividend policy. By the method of generating function,the recursive formula as well as the initial value of the expected accumulated discounted dividends until the bankruptcy is derived. Finally,a numerical example is given to illustrate the application of our results.

关 键 词：复合二项风险模型 随机保费收入 随机分红策略 期望累积折现分红 

分 类 号：O211.6[理学—概率论与数理统计]