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

具有阀值分红策略的最优投资问题探讨 被引量：5

下载PDF
导出
摘要 对跳-扩散风险模型,找到使得红利最大的投资和再保险策略,无论在理论上,还是在保险实务中,都有着非常重要的意义。文章对于跳-扩散风险模型,考虑了投资和分红,给出了红利的计算方法。
作者 杨鹏
机构地区 西京学院基础部
出处 《统计与决策》 CSSCI 北大核心 2012年第21期56-59,共4页 Statistics & Decision
基金 国家自然科学基金资助项目(10771216)
关键词 跳扩散风险模型 阀值分红 投资 随机控制 Hamilton—Jacobi—Bellman方程
分类号 O211.63 [理学—概率论与数理统计] F830 [经济管理—金融学]
  • 相关文献

参考文献8

  • 1Yang Hailiang, Zhang Lihong. Optimal Investment for Insurer with Jump-diffusion Risk Process[J].Insurance: Mathematics and Econom- ics ,2005,(37).
  • 2De Finetti ,B.Su un' Impostazione Alternativa Dell Teoria Colletiva Del Rischio[J].Transactions of the XV International Congress of Actu- aries ,1957,(2).
  • 3Lin, X.S. WiUmot G.E.,Drekic S .The Classical Risk Model with a Constant Dividend Barfier[J].Insurance: Mathematics and Economics, 2003,(33).
  • 4Gerber, H.U.,Shiu E.S.W. Optimal Dividends: Analysis with Brownian Motion[J].North American Actuarial Journal ,2004,8 (1).
  • 5Jeanblanc-Picque,M.,Shiryaev, A.N. Optimization of the Flow of Divi- dends[J].Russian Mathematical Surveys, 1995,(20).
  • 6Amussen, S.,Taksar, M. Controlled Diffusion Models for Optimal Divi- dend Pay-out[J].Insurance: Mathematics and Economics, 1995,(20).
  • 7林祥,杨鹏.扩散风险模型下再保险和投资对红利的影响[J].经济数学,2010,27(1):1-8. 被引量：9
  • 8Schmidli H.Stochastic Control in Insyrance [M].London:Springer,200$.

二级参考文献13

  • 1DE FINETTI B. Su un'impostazione alternativa dell teoria colletiva del rischio[J]. Transactions of the ⅩⅤ International Congress of Actuaries,1957, 2:433-443.
  • 2BUHLMANN H. Mathematical Methods in Risk Theory[M]. New York: Springer-Verlag, 1970.
  • 3GERBER H U. Games of econimic survival with discrete and continuous income processes[J]. Operations Research 1972,20:37-45.
  • 4ASMUSSEN S, TAKSAR M. Controlled diffusion models for optimal dividend pay-out[J]. Insurance: Mathematics and Economics, 1997,20:1-15.
  • 5DICKSON D C M, WATERS H R. Some optimal dividend problems[J]. ASTIN Bulletin, 2004,34:49-74.
  • 6ALBRECHER H, HARTINGER J, TICHY, R. On the distribution of dividend payments and the discounted penalty function in a risk model with liner dividend barrier[J]. Scandinavian Actuarial Journal, 2005,2:103-126.
  • 7LIN X S, WILLMOT G E, DREKIC S. The classical risk model with a constant dividend barrier[J]. Insurance: Mathematics and Economics,2003,33:551-566.
  • 8GERBER H U, SHIU E S W. Optimal dividends: Analysis with Brownian motion[J]. North American Actuarial Journal, 2004,8 : 1 - 20.
  • 9LI S L. The distribution of the dividend payments in the compound Poisson risk model perturbed by diffusion[J]. Scandinavian Actuarial Journal, 2006,2 : 73- 85.
  • 10BROWNE S. Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin[J]. Mathematics Methods Operator Research, 1995,20: 937- 957.

共引文献8

同被引文献40

  • 1毛泽春,刘锦萼.一类索赔次数的回归模型及其在风险分级中的应用[J].应用概率统计,2004,20(4):359-367. 被引量：27
  • 2毛泽春,刘锦萼.索赔次数为复合Poisson-Geometric过程的风险模型及破产概率[J].应用数学学报,2005,28(3):419-428. 被引量：124
  • 3Yang H, Zhang L. Optimal investment for insurer with jump-diffusion risk process[J]. Insurance: Mathematics and Economics ,2005,37(3) :615-634.
  • 4De Finetti B. Su unimpostazione alternativa dellteoria col- letiva del rischio[J]. Transactions of the XV International Congress of Actuaries , 1957,2 (1) : 433-443.
  • 5Lin X S, Willmot G E, Drekic S. The classical risk model with a constant dividend barrier[J]. Insurance: Mathemat- ics and Economics , 2003,33(3) : 551-566.
  • 6Gerber H U , Shiu E S W. Optimal dividends: Analysis with Brownian motion[J]. North American Actuarial Jour- nal ,2004,8 (1) :1-20.
  • 7Jeanblanc P, Shiryaev A N. Optimization of the flow of divi- dends[J]. Russian Mathematical Surveys , 1995,50 (2) : 257-277.
  • 8Asmussen S,Taksa M. Controlled diffusion models for op- timal dividend pay-out[J-]. Insurance: Mathematics and E- conomics, 1997,20(1) : 1-15.
  • 9Schmidli H. Stochastic control in insyrance[M]. London: Springer, 2008.
  • 10Cuoco D, He H, Isaenko S. Optimal dynamic trading strate-gies with risk limits[J]. Operations Research, 2008,56(2). 358-368.

引证文献5

二级引证文献21

统计与决策
2012年 第21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