位置：成果数据库 > 期刊 > 期刊详情页
具有投资利息的扰动复合Poisson风险模型的最优分红策略
  • ISSN号：1003-3998
  • 期刊名称：数学物理学报
  • 时间：2011
  • 页码：1567-1578
  • 分类：O211.6[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]河南科技大学数学与统计学院,河南洛阳471003, [2]曲阜师范大学数学科学学院,山东曲阜273165
  • 相关基金：国家自然科学基金（11171179）、高等学校博士点专项科研基金（20093705110002）、河南省基础与前沿技术研究项目（092300410178）和河南科技大学博士科研启动基金（09001443）资助
  • 相关项目：基于Lévy过程的最优分红策略的研究
作者： 王春伟|尹传存|
关键词： Brown运动, 分红量, HJB方程, 投资利息, 最优分红策略., Brownian motion, Dividend payments, HJB equation, Investment interest, Optimal dividend strategy.
中文摘要：

该文研究了具有投资利息的扰动复合Poisson风险模型的最优分红策略，得到了一类使得最终折现分红总量达到最大值的分红策略．作者刻画最优分红函数为与之相联系的HJB方程的粘性解，并证明了一些特殊情形下最优分红策略的存在性．

英文摘要：

In this paper, we consider the optimal dividend strategy in the perturbed compound Poisson risk model with ivestment interest. Our aim is to find an optimal dividend strategy that maximizes the cumulative expected discounted dividend payments. We characterize the optimal value function as the viscosity solution of the associated Hamilton-Jacobi-Bellman （HJB） equation and prove that there exists an optimal barrier strategy which is optimal among all admissible dividend strategies in some special cases.

同期刊论文项目
　保险风险分析的数学理论
期刊论文 3
基于Lévy过程的最优分红策略的研究
期刊论文 59
同项目期刊论文
COMPLETE MONOTONICITY OF THE PROBABILITY OF RUIN AND DE FINETTI'S DIVIDEND PROBLEM
Representation theorems for generators of BSDEs in L^p spaces
The first passage time and the dividend value function for one-dimensional diffusion processes betwe
随机意外大灾风险模型的破产概率
Two-Sided First Exit Problem for Jump Diffusion Processes Having Jumps with a Mixture of Erlang Dist
Jensen’s Inequality for Generalized Peng’s -Expectations and Its Applications
BSDEs under filtration-consistent nonlinear expectations and the corresponding decomposition theorem
The Exit Time and the Dividend Value Function for One-Dimensional Diffusion Processes
The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy
L^p solutions of infinite time interval BSDEs and the corresponding g-expectationsand g-martingales
Discrete-time GI^X/Geo/1/N queue with negative customers and multiple working vacations
An M^ X /G/1 queue with randomized working vacations and at most J vacations
Discrete-Time Geo^X/G/1 Retrial Queue with General Retrial Times, Working Vacations and Vacation Int
Optimal dividend problem with a terminal value for spectrally positive Lévy processes
Consistent Nonlinear Evaluations with Their Generating Functions in L^p
Exit problems for jump processes with applications to dividend problems
An extension of Paulsen–Gjessing’s risk model with stochastic return on investme
Alternative Approach to the Optimality of the Threshold Strategy for Spectrally Negative Levy Proces
Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
Convexity of Ruin Probability and Optimal Dividend Strategies for aGeneral Lévy Process
Discrete-Time GeoX/G/1 Queue with GeometricallyWorking Vacations and Vacation Interruption
ON A DISCRETE-TIME GIX/GEO/1/N-G QUEUE WITH RANDOMIZED WORKING VACATIONS ANDAT MOST J VACATIONS
Performance and reliability analysis of an M/G/1-G retrial queuewith orbital search and non-persiste
How big are the increments of G-Brownian motion
保费率巨灾索赔相依的风险模型的破产概率
Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strat
On the complete monotonicity of the compound geometric convolution with applications in risk theory
The First Passage Time Problem for Mixed-Exponential Jump Processes with Applications in Insurance a
ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LEVY PROCESS
Optimal dividend problem with a terminal value for spectrally positive Levy processes
DISCRETE-TIME GIX/GEO/1/N QUEUE WITH WORKING VACATIONS AND VACATION INTERRUPTION
The Compound Poisson Risk Model Perturbed by Diffusion with a Hybrid Dividend Strategy
Exact joint laws associated with spectrally negative L′evy processes and applications to insurance r
Dividend Payments with a Hybrid Strategy in the Compound Poisson Risk Model
Uniform Estimate for The Tail Probabilities of Randomly Weighted Sums
一类混合分红策略下的广义Erlang(n) 风险模型
一个可变保费巨灾风险模型的 局部破产概率
Optimal Dividend Problem for a Compound Poisson Risk Model
On a Dual Model with Barrier Strategy
Optimal dividend problemsfor a jump-diffusion model with capital injections and proportionaltransact
Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
Exact joint laws associated with spectrally negative L,vy processes and applications to insurance ri
AN M/G/1 RETRIAL QUEUE WITH GENERAL RETRIAL TIMES, WORKING VACATIONS AND VACATION INTERRUPTION
The expected discounted penalty function under a renewal risk model with stochastic income
On a risk model with Markovian arrivals and tax
一个可变保费巨灾风险模型的局部破产概率
正态总体误差方差的经验Bayes估计及其优良性
带分红的稀疏风险模型的期望折现罚金函数
COMPLETE MONOTONICITY OF THE PROBABILITY OF RUIN AND DE FINETTI＇S DIVIDEND PROBLEM
一个数列极限的推广
COMPLETE MONOTONICITY OF THE PROBABILITY OF RUIN AND DE FINETTI＇S DIVIDEND PROBLEM
期刊信息
  • 《数学物理学报：A辑》
  • 北大核心期刊（2011版）
  • 主管单位:中国科学院
  • 主办单位:中国科学院武汉物理与数学研究所
  • 主编：李邦河 陈贵强 朱熹平
  • 地址：湖北省武汉市武昌小洪山西路30号武汉71010信箱
  • 邮编：430071
  • 邮箱：actams@wipm.ac.cn
  • 电话：027-87199206
  • 国际标准刊号：ISSN：1003-3998
  • 国内统一刊号：ISSN：42-1226/O
  • 邮发代号:38-214
  • 获奖情况:
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国数学评论（网络版）,德国数学文摘,日本日本科学技术振兴机构数据库,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:5382