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Optimal Dividend Strategies in a Double Compound Poisson Risk Process

Optimal Dividend Strategies in a Double Compound Poisson Risk Process
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摘要 In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certain boundary conditions for the present value of dividends until ruin. When the claims from both classes are exponentially distributed, we show that the threshold dividend strategy is an optimal dividend strategy. In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certain boundary conditions for the present value of dividends until ruin. When the claims from both classes are exponentially distributed, we show that the threshold dividend strategy is an optimal dividend strategy.
作者 LI Shijun MING Ruixing HUANG Longshengt
机构地区 School of Mathematics and Information Sciences School of Management School of Sciences
出处 《Wuhan University Journal of Natural Sciences》 CAS 2011年第2期133-138,共6页 武汉大学学报（自然科学英文版）
基金 Supported by the Natural Science Foundation of Jiangxi Province (2008GQS0035) the Foundation of Zhejiang Provincial Education Department Research Projects (Y200803009)
关键词 double compound Poisson process the value function integro-differential equation threshold dividend strategy generalized Lundberg’s fundamental equation double compound Poisson process the value function integro-differential equation threshold dividend strategy generalized Lundberg’s fundamental equation
分类号 O211.9 [理学—概率论与数理统计]
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参考文献12

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Wuhan University Journal of Natural Sciences
2011年 第2期

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