| 对偶风险模型最优分红值的离散估计方法 |
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| 引用本文： | 徐怀.对偶风险模型最优分红值的离散估计方法[J].山东大学学报(理学版),2012,47(5):115-121. |
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| 作者姓名： | 徐怀 |
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| 作者单位： | 安徽大学数学科学学院,安徽合肥,230039 |
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| 基金项目： | 安徽省高校青年教师资助项目(2007gq1016) |
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| 摘 要： | 在累计收入过程为复合泊松过程的对偶风险模型中,考虑了在障碍分红策略下的最优分红值的计算问题。首先应用Laplace变换得出最优分红值的精确解,当精确解无法得到时,应用离散的对偶风险模型来估计最优分红值。最后给出两个数值的例子加以说明,并对计算结果做出评价。
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| 关 键 词： | 对偶风险模型 离散风险模型 最优分红 Laplace变换 离散估计 |
Discrete approximation of the optimal dividend barrier in the dual risk model |
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| XU Huai.Discrete approximation of the optimal dividend barrier in the dual risk model[J].Journal of Shandong University,2012,47(5):115-121. |
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| Authors: | XU Huai |
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| Institution: | XU Huai (School of Mathematics,Anhui University,Hefei 230039,Anhui,China) |
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| Abstract: | The optimal dividend barrier of the dual risk model under a barrier dividend strategy is considered in this paper.First the exact solution of the optimal dividend barrier is presented by Laplace transform.When analytic results are unavailable,the discrete time dual risk model can be used to provide approximations for the optimal dividend barrier.For illustration,the approximate values of optimal dividends are numerically compared in two numerical examples. |
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| Keywords: | dual risk model discrete risk model optimal dividend barrier Laplace transform discrete approximation |
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