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1.
In this paper, we consider the classical surplus process with a constant dividend barrier and a dependence structure between
the claim amounts and the inter-claim times. We derive an integro-differential equation with boundary conditions. Its solution
is expressed as the Gerber-Shiu discounted penalty function in the absence of a dividend barrier plus a linear combination
of a finite number of linearly independent particular solutions to the associated homogeneous integro-differential equation.
Finally, we obtain an explicit solution when the claim amounts are exponentially distributed and we investigate the effects
of dependence on ruin quantities. 相似文献
2.
In this paper, we consider the compound
Poisson surplus model with interest, liquid reserves and a constant
dividend barrier. When the surplus of an insurer is below a fixed
level, the surplus is kept as liquid reserves, which does not earn
interest. When the surplus attains the level, the surplus will
receive interest at a constant rate. When the surplus hits another
fixed higher lever, the excess of the surplus over this higher level
will be distributed to the shareholders as dividends. We derive a
system of integro-differential equations for the Gerber-Shiu
discounted penalty function and obtain the solutions to these
integro-differential equations. In the case where the claim sizes
are exponential distributed, we get the exact solutions of zero
discounted Gerber-Shiu function. We also get the
integro-differential equation for the expectation of the discounted
dividends until ruin which is the key to discuss the optimal
dividend barrier. And we give the exact solution in the special case
with exponential claim sizes. 相似文献
3.
David Landriault 《Insurance: Mathematics and Economics》2008,42(1):31-38
The risk model with interclaim-dependent claim sizes proposed by Boudreault et al. [Boudreault, M., Cossette, H., Landriault, D., Marceau, E., 2006. On a risk model with dependence between interclaim arrivals and claim sizes. Scand. Actur. J., 265-285] is studied in the presence of a constant dividend barrier. An integro-differential equation for some Gerber-Shiu discounted penalty functions is derived. We show that its solution can be expressed as the solution to the Gerber-Shiu discounted penalty function in the same risk model with the absence of a barrier and a combination of two linearly independent solutions to the associated homogeneous integro-differential equation. Finally, we analyze the expected present value of dividend payments before ruin in the same class of risk models. An homogeneous integro-differential equation is derived and then solved. Its solution can be expressed as a different combination of the two fundamental solutions to the homogeneous integro-differential equation associated to the Gerber-Shiu discounted penalty function. 相似文献
4.
本文研究了在一类马氏相关更新风险模型中的红利-惩罚等式的问题.推导了在常数红利边界下,折扣惩罚函数满足的方程,利用解微分-积分方程的方法,更简洁的推出了红利-惩罚等式相关的结果,推广了文献[1]的结论. 相似文献
5.
Shu-min Chen 《应用数学学报(英文版)》2014,30(3):721-734
In this paper we consider the problem of maximizing the total discounted utility of dividend payments for a Cramér-Lundberg risk model subject to both proportional and fixed transaction costs.We assume that dividend payments are prohibited unless the surplus of insurance company has reached a level b.Given fixed level b,we derive a integro-differential equation satisfied by the value function.By solving this equation we obtain the analytical solutions of the value function and the optimal dividend strategy when claims are exponentially distributed.Finally we show how the threshold b can be determined so that the expected ruin time is not less than some T.Also,numerical examples are presented to illustrate our results. 相似文献
6.
Stathis Chadjiconstantinidis Apostolos D. Papaioannou 《Insurance: Mathematics and Economics》2009,45(3):470-484
In this paper we consider a risk model with two independent classes of insurance risks. We assume that the two independent claim counting processes are, respectively, the Poisson and the generalized Erlang(2) process. We prove that the Gerber-Shiu function satisfies some defective renewal equations. Exact representations for the solutions of these equations are derived through an associated compound geometric distribution and an analytic expression for this quantity is given when the claim severities have rationally distributed Laplace transforms. Further, the same risk model is considered in the presence of a constant dividend barrier. A system of integro-differential equations with certain boundary conditions for the Gerber-Shiu function is derived and solved. Using systems of integro-differential equations for the moment-generating function as well as for the arbitrary moments of the discounted sum of the dividend payments until ruin, a matrix version of the dividends-penalty is derived. An extension to a risk model when the two independent claim counting processes are Poisson and generalized Erlang(ν), respectively, is considered, generalizing the aforementioned results. 相似文献
7.
In this paper, we consider the dividend payments in a compound Poisson risk model with credit and debit interests under absolute ruin. We first obtain the integro-differential equations satisfied by the moment generating function and moments of the discounted aggregate dividend payments. Secondly, applying these results, we get the explicit expressions of them for exponential claims. Then, we give the numerical analysis of the optimal dividend barrier and the expected discounted aggregate dividend payments which are influenced by the debit and credit interests. Finally, we find the integro-differential equations satisfied by the Laplace transform of absolute ruin time and give its explicit expressions when the claim sizes are exponentially distributed. 相似文献
8.
9.
In this paper, we consider a diffusion perturbed classical compound Poisson risk model in the presence of a linear dividend barrier. Partial integro-differential equations for the moment generating function and the nth moment of the present value of all dividends until ruin are derived. Moreover, explicit solutions for the nth moment of the present value of dividend payments are obtained when the individual claim size distribution is exponential. We also provided some numerical examples to illustrate the applications of the explicit solutions. Finally we derive partial integro-differential equations with boundary conditions for the Gerber-Shiu function. 相似文献
10.
In this paper, we study a regime-switching risk model with a threshold dividend strategy, in which the rate for the Poisson claim arrivals and the distribution of the claim amounts are driven by an underlying (external) Markov jump process. The purpose of this paper is to study the unified Gerber-Shiu discounted penalty function and the moments of the total dividend payments until ruin. We adopt an approach which is akin to the one used in [Lin, X.S., Pavlova, K.P., 2006. The compound Poisson risk model with a threshold dividend strategy. Insu.: Math. and Econ. 38, 57-80] to extend the results for the classical risk model with a threshold dividend strategy to our model. The matrix form of systems of integro-differential equations is presented and the analytical solutions to these systems are derived. Finally, numerical illustrations with exponential claim amounts are also given. 相似文献
11.
借助于锥理论,本文讨论Banach空间中非线性脉冲积分微分方程的解.给出一阶脉冲微分方程存在唯一正解的条件及混合型脉冲积分微分方程至少具有两解的条件. 相似文献
12.
Fractional calculus is an extension of derivatives and integrals to non-integer orders and has been widely used to model scientific and engineering problems. In this paper, we describe the fractional derivative in the Caputo sense and give the second kind Chebyshev wavelet (SCW) operational matrix of fractional integration. Then based on above results we propose the SCW operational matrix method to solve a kind of nonlinear fractional-order Volterra integro-differential equations. The main characteristic of this approach is that it reduces the integro-differential equations into a nonlinear system of algebraic equations. Thus, it can simplify the problem of fractional order equation solving. The obtained numerical results indicate that the proposed method is efficient and accurate for this kind equations. 相似文献
13.
We study the optimal reinsurance policy and dividend distribution of an insurance company under excess of loss reinsurance. The objective of the insurer is to maximize the expected discounted dividends. We suppose that in the absence of dividend distribution, the reserve process of the insurance company follows a compound Poisson process. We first prove existence and uniqueness results for this optimization problem by using singular stochastic control methods and the theory of viscosity solutions. We then compute the optimal strategy of reinsurance, the optimal dividend strategy and the value function by solving the associated integro-differential Hamilton–Jacobi–Bellman Variational Inequality numerically. 相似文献
14.
In this paper, we study mathematical properties of an integro-differential equation that arises as a particular limit case in the study of individual cell-based model. We obtain global well-posedness for some classes of interaction potentials and finite time blow-up for others. The existence of space homogeneous steady states as well as long-time asymptotics for the solutions of the problem is also discussed. 相似文献
15.
本文研究了带常数红利边界的马氏相依风险模型,利用微分方法,推导出折扣惩罚函数的期望所满足的积分-微分方程,及其满足的边界条件,并给出了其解的一般表达形式. 相似文献
16.
Chenais D. Monnier J. Vila J. P. 《Journal of Optimization Theory and Applications》2001,110(1):75-117
We present a study of an optimal design problem for a coupled system, governed by a steady-state potential flow equation and a thermal equation taking into account radiative phenomena with multiple reflections. The state equation is a nonlinear integro-differential system. We seek to minimize a cost function, depending on the temperature, with respect to the domain of the equations. First, we consider an optimal design problem in an abstract framework and, with the help of the classical adjoint state method, give an expression of the cost function differential. Then, we apply this result in the two-dimensional case to the nonlinear integro-differential system considered. We prove the differentiability of the cost function, introduce the adjoint state equation, and give an expression of its exact differential. Then, we discretize the equations by a finite-element method and use a gradient-type algorithm to decrease the cost function. We present numerical results as applied to the automotive industry. 相似文献
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19.
In this paper we consider a multi-threshold compound Poisson risk model. A piecewise integro-differential equation is derived for the Gerber-Shiu discounted penalty function. We then provide a recursive approach to obtain general solutions to the integro-differential equation and its generalizations. Finally, we use the probability of ruin to illustrate the applicability of the approach. 相似文献