具有资金交换对偶模型的阈值分红  

A threshold dividend with a dual model of capital exchange

作　　者：权俊亮 胡华 徐云程 QUAN Junliang;HU Hua;XU Yuncheng(School of Mathematical Statistics,Ningxia University,Yinchuan Ningxia 750021)

机构地区：[1]宁夏大学数学统计学院,宁夏银川750021

出　　处：《宁夏师范学院学报》2020年第10期12-20,共9页Journal of Ningxia Normal University

基　　金：国家自然科学基金(11361044);宁夏自然科学基金(2019AAC03038);宁夏研究生教育创新计划项目(YKC201709).

摘　　要：考虑了带干扰对偶风险模型中具有资本交换且阈值分红策略的最优分红问题;根据预期分红贴现的值函数定义,得到了值函数所满足的积分-偏微分方程组.由于方程解析解求解困难,通过微分算子将积分-偏微分方程组转换成偏微分方程组.最后,通过有限元差分方法求得方程的差分格式.The optimal dividend problem with capital exchange and threshold dividend strategy in the dual risk model with diffusion is considered.According to the definition of the value function of expected dividend discount,the integral-partial differential equations of value function are obtained.Since the difficulty in solving the analytical solution of the equation,the integral-partial differential equations are converted into the partial differential equations by means of differential operators.Finally,the finite element difference method is used to establish the difference scheme of the equation.

关 键 词：二维对偶模型 阈值策略 积分-偏微分方程 有限元差分 

分 类 号：O211.67[理学—概率论与数理统计]