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与经典Cramer-Lundberg风险模型中保费收取过程是时间的线性函数不同, 我们考虑聚合的保费收取过程是复合Poisson过程,研究了在此模型下的常数分红策略问题.Dickson和Waters,(2004)指出在破产发生时,股东还应有责任偿付破产时的赤字. 因此,在本文中考虑的最优准则是最大化破产发生前的分红折现值与破产发生时赤字的差的期望.做为例子, 当个体保费收取额和索赔额均为指数分布时,给出了计算分红障碍的条件

Optimal Dividend Strategy under the Risk Model with Stochastic Premium

In contrast with the classicalCramer-Lundberg model where the premium process is a linearfunction of time, we consider the constant barrier strategy underthe risk model where the aggregate premium process is modeled as acompound Poisson process. Dickson and Waters (2004) pointed out thatthe shareholders should be liable to cover the deficit at ruin.Thus, the optimization criteria considered in this paper ismaximizing the expectation of the difference between discounteddividends until ruin and the deficit at ruin. As an illustration,the condition of the optimal barrier is calculated in the case wherethe individual stochastic premium amount and claim amount areexponential distributed.