带负载赋税的Cramér-Lundberg风险模型的门槛分红（英文）  

The threshold dividends in the■ risk model with loss-carry forward tax payments

作　　者：刘章[1,2] 马悦 胡亦钧 肖立群[4] LIU Zhang;MA Yue;HU Yijun;XIAO Liqun(College of Sciences, Jiangxi Agricultural University, Nanchang 330045, China;School of Mathematics and Statistics, Wuhan University, Wuhan, 430072, China;School of Mathematics and Information Sciences, North China University of Water Resources and Electric Power, Zhengzhou 450045, China;School of Economics and Statistics, Guangzhou University, Guangzhou 510006, China)

机构地区：[1]江西农业大学理学院,江西南昌330045 [2]武汉大学数学与统计学院,湖北武汉430072 [3]华北水利水电大学数学与统计学院,河南郑州450045 [4]广州大学经济与统计学院,广东广州510006

出　　处：《中国科学技术大学学报》2018年第11期877-884,共8页JUSTC

基　　金：Supported by the National Natural Science Foundation of China(11771343,11601097);the Science and Technology Research Project of Jiangxi Provincial Education Department(GJJ180201,GJJ150401)

摘　　要：研究了一类经典Cramér-Lundberg风险模型,其在安全负载体系下进行赋税,且按门槛策略进行分红.针对此模型,推导了破产前的期望折现总分红的表达式,并给出单独赔付额服从指数分布下的精确解.最后给出破产时刻之前的期望折现总分红以及最优门槛的数值模拟结果.A classical Cramér-Lundberg risk model with a threshold dividend strategy and loss-carry forward tax payments was studied. For this model, the closed-form expressions for the expected accumulated discounted dividends until ultimate ruin was derived and the explicit solution was presented when the individual claim amount follows an exponential distribution. Finally, numerical illustrations of the expected accumulated discounted dividends until ruin and the optimal threshold were given.

关 键 词：Cramér-Lundberg风险模型 期望折现分红 门槛分红策略 负载赋税 

分 类 号：O211.5[理学—概率论与数理统计] O211.6[理学—数学]