| 经典风险模型最优分红值的估计方法 |
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| 引用本文： | 徐怀,唐玲.经典风险模型最优分红值的估计方法[J].应用数学,2011,24(3). |
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| 作者姓名： | 徐怀 唐玲 |
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| 作者单位： | 1. 安徽大学数学科学学院,安徽合肥,230039
2. 安徽建筑工业学院数理系,安徽合肥,230022 |
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| 基金项目： | Supported by the National Natural Science Foundation of China(10871001); the Talents Youth Fund of Anhui Province Universities(jq20070110) |
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| 摘 要： | 本文考虑经典风险模型在障碍分红策略下的最优分红值的估计问题.当个体索赔额是混合指数分布时,给出最优分红值的解析表达式.但当个体索赔额是一般分布时,最优分红值的解析表达式往往不能得到,这时我们提供了两种估计方法,一是Lundberg渐近估计法,二是离散化模型估计法.最后给出几个数值例子,对不同计算方法下的估计值作出比较.
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| 关 键 词： | 经典风险模型 最优分红值 混合指数分布 Lundberg渐近公式 离散模型 |
Approxi mations of the Optimal Dividends Barrier in Classical Risk Model |
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| XU Huai
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TANG Ling.Approxi mations of the Optimal Dividends Barrier in Classical Risk Model[J].Mathematica Applicata,2011,24(3). |
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| Authors: | XU Huai TANG Ling |
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| Institution: | XU Huai1,TANG Ling2(1.School of Mathematics,Anhui University,Hefei230039,China,2.Department of Mathematics,Anhui Institute of Architecture and Industry,Hefei230022,China) |
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| Abstract: | We consider methods for esti mating the opti mal dividend barrier in the classical risk model.If an individual clai mis a mixtures of exponential probability density function,we obtain a closed formexpression for expectation of the discounted dividends and exact value of the opti mal dividends barrier.When the analytic result for expectation of the discounted dividends is unavailable,two methods are provided to esti mate the optimal dividends barrier,one is by the famous Cramer-lundberg asymptotic formula,t... |
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| Keywords: | Classical risk model Optimal dividends barrier Mixtures of exponential Lundberg's asymptotic formula Discrete time model |
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