| 带扩散扰动的复合泊松模型上的按比例分红策略 |
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| 引用本文： | 李旸,张春生.带扩散扰动的复合泊松模型上的按比例分红策略[J].天津师范大学学报(自然科学版),2009,29(2):5-9. |
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| 作者姓名： | 李旸 张春生 |
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| 作者单位： | 1. 天津工程职业技术学院,天津,300280
2. 南开大学,数学科学学院,天津,300071 |
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| 基金项目： | 国家重点基础研究发展规划(973计划) |
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| 摘 要： | 考虑带扩散扰动的复合泊松模型上的按比例分红策略，运用复合泊松过程逼近布朗运动，得到了直至破产前所有分红的期望折现值y（x；b）所满足的微分积分方程组，当索赔是指数分布时，给出了V（x；b）的确切表达式。
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| 关 键 词： | 复合泊松模型 带扩散扰动 按比例分红 布朗运动 期望折现值 |
Threshold dividend strategy on the compound Poisson model perturbed by diffusion |
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| LI Yang,ZHANG Chunsheng.Threshold dividend strategy on the compound Poisson model perturbed by diffusion[J].Journal of Tianjin Normal University(Natural Science Edition),2009,29(2):5-9. |
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| Authors: | LI Yang ZHANG Chunsheng |
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| Institution: | LI Yang, ZHANG Chunsheng (1. Tianjin Engineering Technical Institute, Tianjin 300280, China 2. School of Mathematical Sciences, Nankai University, Tianjin 300071, China) |
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| Abstract: | Threshold dividend strategy on the compound Poisson model perturbed by diffusion is considered. By approaching Brownian motion with eompound Poisson model, the integro-differential equations are derived for V（x;b） which is the expected present value of all dividends before ruin. And when the claim is exponential distributed the explicit expression of V（x;b） is obtained. |
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| Keywords: | compound Poisson model perturbed by diffusion threshold dividend Brownian motion expected present value |
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