离散模型下带交易费和税最优分红的迭代解  

Iterative Solution of Optimal Dividend in the Discrete Model when Payments are Subject to Transaction Costs and Taxes

作　　者：王绍锋 马小翠 WANG Shao-feng;MA Xiao-cui(School of Mathematics and Computer Application Technology,Jining University,Qufu 273155,China)

机构地区：[1]济宁学院数学与计算机应用技术学院,山东曲阜273155

出　　处：《数学的实践与认识》2023年第10期21-31,共11页Mathematics in Practice and Theory

基　　金：国家自然科学基金(12001235)。

摘　　要：研究离散时间模型下带有分红交易费和税的最优分红问题.在分红率有界且不小于单位保费的条件下,证明了最优映像函数和值函数的单调性.根据单调性,运用迭代算法,获得了最优映像函数、分红赔付和值函数的近似解。In this paper,we study the optimal dividend problem in the discrete Sparre Andersen risk model in which transaction costs and taxes are required when dividends occur.We prove the monotonicity of the optimal value function and image function when dividend rates are bounded and not less than unit time premium.In addition,we offer an iterative algorithm to obtain the optimal value functions and the optimal strategy.

关 键 词：分红 离散模型 最优策略 映像函数 迭代解 

分 类 号：F224[经济管理—国民经济] O224[理学—运筹学与控制论]