共查询到17条相似文献,搜索用时 437 毫秒
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该文考虑了常数障碍分红策略下的Erlang(2)模型,研究了Gerber-Shiu折现罚金函数和期望折现分红,导出了它们所满足的积分微分方程,并分析了它们的解. 相似文献
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跳扩散对偶模型在带壁分红策略下的分红函数 总被引:2,自引:0,他引:2
考虑了带干扰的古典风险模型的对偶模型,讨论了模型在带壁分红策略下的一些结论.通过研究过程的局部时,证明了所讨论函数的边界条件.用在没有分红策略下模型的函数,给出了期望折现分红函数的显示表达.在最后一节,对于跳服从相位分布的情形,给出了数值例子,并讨论了最优分红边界的存在性. 相似文献
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该文将随机保费收入、相依索赔以及随机分红策略引入到复合二项风险模型中,并研究该模型下的随机分红问题.运用母函数的方法,推导得到保险公司直至破产前的期望累积折现分红量满足的差分方程及其解.最后,通过几个数值例子展示了所得结果. 相似文献
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主要研究了常数分红界下两离散相依险种风险模型的分红问题.模型假定一个险种的主索赔以一定的概率引起另外一险种的副索赔,且副索赔可能延迟发生,推导了到破产前一时刻为止累积分红折现均值满足的差分方程,并得到了特殊索赔额下累积分红折现均值的具体表达式,最后结合实际例子进行了数值模拟. 相似文献
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考虑常数分红界下带扰动的马尔可夫调制对偶风险模型,其中保险公司收益到达过程、收益额的大小以及支出都受一马尔可夫过程的影响,得到了破产前累积分红折现均值所满足的积分一微分方程及边界条件;进一步得到了两状态下,收益分布为指数分布和混合指数分布时累积分红折现均值的表达式,最后给出了数值模拟实例. 相似文献
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本文考虑了索赔时间间距为Erlang(n)分布带阈限分红策略的更新风险模型的平均折现罚函数,建立了该函数所满足的积分-微分方程及更新方程,最后讨论了更新方程的解. 相似文献
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The Optimal Dividend and Capital Injection Strategies in the Classical Risk Model with Randomized Observation Periods
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This paper considers the optimal dividend and capital injection
strategies in the classical risk model with randomized observation periods. Assume that ruin
is prohibited. We aim to maximise the expected discounted dividend payments minus the expected
penalised discounted capital injections. We derive the associated Hamilton-Jacobi-Bellman
(HJB) equation and prove the verification theorem. The optimal control strategy and the
optimal value function are obtained under the assumption that the claim sizes are
exponentially distributed. 相似文献
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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. 相似文献
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This article considers a Markov-dependent risk model with a constant dividend barrier. A system of integro-differential equations with boundary conditions satisfied by the expected discounted penalty function, with given initial environment state, is derived and solved. Explicit formulas for the discounted penalty function are obtained when the initial surplus is zero or when all the claim amount distributions are from rational family. In two state model, numerical illustrations with exponential claim amounts are given. 相似文献
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This article considers a Markov-dependent risk model with a constant dividend barrier. A system of integro-differential equations with boundary conditions satisfied by the expected discounted penalty function, with given initial environment state, is derived and solved. Explicit formulas for the discounted penalty function are obtained when the initial surplus is zero or when all the claim amount distributions are from rational family. In two state model, numerical illustrations with exponential claim amounts are given. 相似文献
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The dividends-penalty identity is a relation between three functions: the discounted penalty function without dividends, the discounted penalty function if a barrier dividend strategy is applied, and the expected discounted dividends until ruin. The classical model of risk theory is modified in that the deterministic premiums are replaced by a compound Poisson process with exponential jumps. In this model, the dividends-penalty identity is new and can be derived by interpretation. Then the dividends-penalty identity in the classical model is obtained as a limit. 相似文献
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Mykola Bratiichuk 《Statistics & probability letters》2012,82(3):496-504
In this paper, we present a new approach to the study of the Gerber-Shiu discounted function for the risk model with multi-layer dividend strategy. The formulae for the Gerber-Shiu discounted function and ruin probability were obtained and the special case where the claim size distribution is a combination of exponentials is considered in detail. 相似文献
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A.A. Muromskaya 《Moscow University Mathematics Bulletin》2016,71(5):200-203
A model of insurance company performance with dividend payment is studied. We investigate the dividend strategy according to which the level of the barrier can be changed after the receipt of claims. A function representing the value of expected discounted dividends paid until ruin is obtained. 相似文献