| 带利率和常数红利边界的对偶风险模型的研究 |
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| 引用本文： | 袁海丽,胡亦钧.带利率和常数红利边界的对偶风险模型的研究[J].数学学报,2012(1):131-140. |
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| 作者姓名： | 袁海丽 胡亦钧 |
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| 作者单位： | 武汉大学数学与统计学院 |
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| 基金项目： | 中央高校基本科研业务费专项资金;国家自然科学基金 |
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| 摘 要： | 考虑带利率和常数红利边界的对偶风险模型.首先,给出破产为止总红利现值的期望满足的积分-微分方程,并且在指数收益下得到其封闭解.其次,推导出总红利现值的矩满足的积分-微分方程,在指数收益下给出其封闭解.最后,给出在特殊情形下的数值计算.
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| 关 键 词： | 对偶风险模型 利率 红利派发 |
On the Dual Risk Model with Interest and Constant Dividend Barrier |
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| Hai Li YUAN Yi Jun HU.On the Dual Risk Model with Interest and Constant Dividend Barrier[J].Acta Mathematica Sinica,2012(1):131-140. |
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| Authors: | Hai Li YUAN Yi Jun HU |
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| Institution: | Hai Li YUAN Yi Jun HU School of Mathematics and Statistics,Wuhan University,Wuhan 430072,P.R.China |
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| Abstract: | We consider the dual risk model with interest and a constant dividend barrier.First,the integral-differential equation satisfied by the expected discounted dividend payments is given,and the closed form for the expected discounted dividend payments is provided in the case where profits follow an exponential distribution. Second,the integral-differential equation satisfied by the moments of the discounted dividend payments is given,and the closed form for the moments of the discounted dividend payments is also obtained in the case where profits follow an exponential distribution.Finally,we provide the numerical results for the expected discounted dividend payments in the case of exponential distribution. |
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| Keywords: | dual risk model interest dividend payments |
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