期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

A Note on the Perturbed Compound Poisson Risk Model with a Threshold Dividend Strategy

A Note on the Perturbed Compound Poisson Risk Model with a Threshold Dividend Strategy
原文传递
导出
摘要 In this paper, we consider the Perturbed Compound Poisson Risk Model with a threshold dividend strategy （PCT）. Integro-differential equations （IDE） for its Cerber-Shiu functions and dividend payments function are stated. We maily focus on deriving the boundary conditions to solve these equations. In this paper, we consider the Perturbed Compound Poisson Risk Model with a threshold dividend strategy （PCT）. Integro-differential equations （IDE） for its Cerber-Shiu functions and dividend payments function are stated. We maily focus on deriving the boundary conditions to solve these equations.
作者 Bo Li Rong Wu
机构地区 School of Mathematical Sciences and LPMC
出处 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2009年第2期205-216,共12页 应用数学学报（英文版）
基金 Supported by the National Basic Research Program of China(973 Program) 2007CB814905 the National Natural Science Foundation of China(No.10871102) the Research Fund of the Doctorial Program of Higher Education,the Keygrant Project of Chinese Ministry of Education(No.309009)
关键词 Gerber-Shiu function threshold dividend strategy expected discounted payments function integro-differential equation Gerber-Shiu function threshold dividend strategy expected discounted payments function integro-differential equation
分类号 O211.67 [理学—概率论与数理统计] TP391.41 [自动化与计算机技术—计算机应用技术]
  • 相关文献

参考文献21

  • 1Asmussen, S. Ruin Probabilities. World Scientific Publishing Co. Pte.Inc., Singapore, 2000
  • 2Chiu, S.N., Yin, C.C. The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion. Insurance: Mathematics and Economics, 33:59-66 (2003)
  • 3De Finetti, B. Su un'impostazione alternativa della teoria collettiva del rischio. Proceedings of the Transactions of the ⅩⅤ International Congress of Actuaries, 1957, Vol.2, 433-443
  • 4Dufresne, F., Gerber, H.U. Risk theory for the compound Poisson process that is perturbed by diffusion. Insurance: Mathematics and Economics, 10:51-59 (1991)
  • 5Gerber, H.U. An extension of the renewal equation and its application in the collective theory of risk. Skandinavisk Aktuarietidskrift, 205-210(1970)
  • 6Gerber, H.U., Landry, B. On the discounted penalty at ruin in a jump-diffusion and the perpetual put option. Insurance: Mathematics and Economics,) 22:263-276 (1998)
  • 7Gerber, H.U., Shiu, E.S.W. Optimal dividends: analysis with Brownian motion. North American Actuarial Journal, 8:1-20 (2004)
  • 8Gerber, H.U., Shiu, E.S.W. On optimal dividend strategies in the compound Poisson model. Colloquia of Austin in Zurich, Switzerland, September 2005
  • 9Karatzas, I., Shreve, S.E. Brownian motion and stochastic calculus. Springer-Verlag, Berlin, 1988
  • 10Li, S. The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion. Scandinavian Actuarial Journal, 2:73-85 (2006)
Acta Mathematicae Applicatae Sinica
2009年 第2期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部