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| 带扩散扰动的对偶风险模型的门槛分红策略 | |
| 引用本文： | 刘章,明瑞星,王文元,宋秀英.带扩散扰动的对偶风险模型的门槛分红策略[J].中国科学技术大学学报,2012,42(6):475-481,516. |
| 作者姓名： | 刘章 明瑞星 王文元 宋秀英 |
| 作者单位： | 1. 江西农业大学理学院,江西南昌330045; 2. 中国科学技术大学统计与金融系,安徽合肥230026; 3. 武汉大学数学与统计学院,湖北武汉,430072 |
| 摘 要： | 研究了一类带干扰(布朗运动)的对偶风险模型,此模型可以用来模拟证券公司的盈余过程(经营收入).利用无穷小分析法,求出了公司在破产前总分红现值期望函数(分红函数)满足的微积分方程组,导出了与该微积分方程组等价的更新方程组.最后,在指数分布收入情形下,我们给出了分红函数在特例下的一般解. |
| 关 键 词： | 分红函数 扰动 对偶风险模型 barrier分红策略 threshold分红策略 破产时刻 |
The threshold dividend strategy in the dual risk model perturbed by diffusion |
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| LIU Zhang , MING Ruixing , WANG Wenyuan , SONG Xiuying.The threshold dividend strategy in the dual risk model perturbed by diffusion[J].Journal of University of Science and Technology of China,2012,42(6):475-481,516. | |
| Authors: | LIU Zhang MING Ruixing WANG Wenyuan SONG Xiuying |
| Institution: | 1(1.College of Sciences,Jiangxi Agricultural University,Nanchang 330045,China; 2.Department of Statistics and Finance,University of Science and Technology of China,Hefei 230026,China; 3.School of Mathematics and Statistics,Wuhan University,Wuhan 430072,China) |
| Abstract: | The dual risk model perturbed by diffusion(Brownian motion) was studied.The surplus process(operating income) of a securities company could be simulated by this model.Using the infinitesimal analysis,the integro-differential equations of the expected accumulated discounted dividends before bankruptcy were obtained.Then,the renewal equations equivalent to the integro-differential equations were derived.Finally,for exponentially distributed income,the explicit solutions for the expected accumulated discounted dividends were given for special cases. |
| Keywords: | expected accumulated discounted dividends diffusion dual risk model barrier dividend strategy threshold dividend strategy ruin time |
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