随机规划在破产模型红利界中的应用

Stochastic Programming Studies Dividend Bottom Line

以经典离散模型为基础,在考虑红利界和假设索赔额满足平稳时间序列AR(1)模型的情况下,建立了随机规划模型,利用蒙特卡罗方法研究常数红利界、线性红利界及非线性红利界对最优红利和破产概率的影响.用实例验证了该方法的可行性和有效性,为保险公司实际分红提供了一种有效的方法.

This paper is based on the classical discrete model.By considering the dividend bottom line and assuming that the claims meet the stationary time series model AR（1）,the stochastic programming models is established and by using Monte Carlo methods the constant dividend bottom line,linear dividend bottom line and non-linear dividend bottom line are studied.The example shows the feasibility and validity of this method.This is most effective method to share out bonus for insurance company.