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跳扩散对偶模型在带壁分红策略下的分红函数
  • ISSN号：1000-0887
  • 期刊名称：《应用数学和力学》
  • 时间：0
  • 分类：O211.6[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]南开大学数学科学学院,天津300071
  • 相关基金：基金项目：国家重点基础研究发展计划（973计划）资助项目（2007CB814905）;国家自然科学基金资助项目（10571092）;高等教育博士学科点科研基金资助项目.
作者： 李波[1], 吴荣[1]
关键词： 复合POISSON过程, 扩散过程, GERBER-SHIU函数, 微分积分方程, 破产时, 破产前余额, 赤字, compound Poisson process, diffusion process, Gerber-Shiu function, integro-differentialequation, time of ruin, surplus before ruin, deficit at ruin
中文摘要：

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。

英文摘要：

A dual model of the perturbed classical corapound Poisson risk model under a constant div- idend barrier was considered. A new method is used in deriving the boundary condition of the equation satisfied by that expectation function, by using the local time of a related process. The expression for the expected discounted dividend function was obtained in terms of those in the corresponding perturbed corapound Poisson risk model without barrier. The special cases where the gain size is phasetype distributed is illustrated in the last section. Also the existence of the optimal dividend level was considered.

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几类随机过程的研究与相应的风险理论
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期刊信息
  • 《应用数学和力学》
  • 中国科技核心期刊
  • 主管单位:重庆交通大学
  • 主办单位:重庆交通大学
  • 主编：钟万勰
  • 地址：重庆南岸区重庆交通大学90信箱
  • 邮编：400074
  • 邮箱：applmathmech@cqjtu.edu.cn
  • 电话：023-62652450
  • 国际标准刊号：ISSN：1000-0887
  • 国内统一刊号：ISSN：50-1060/O3
  • 邮发代号:78-21
  • 获奖情况:
  • 国际工程索引（EI）收录期刊,我国力学类核心期刊,中国期刊方阵“双效”期刊
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国数学评论（网络版）,日本日本科学技术振兴机构数据库,美国应用力学评论,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:8965