摘要
研究了当分红边界给定时﹐跳扩散风险过程的最优投资和最优红利问题。假设红利支付策略是边界分红策略﹐也就是当盈余超出一常数边界﹐超出部分立即作为红利支出﹐否则没有红利支出。保险人可以在风险资产和无风险资产上投资。研究了当分红边界给定时﹐跳扩散风险过程的最优投资策略和最优红利。当理赔为一些特殊分布时﹐给出了计算最优投资策略和最优红利的方法﹐分别为An=u-roσ2Wn-ρβσ,vn≈n>i=0ui h。
In this paper, under barrier dividend is given, we consider optimal investment and optimal dividend for jump-diffusion risk process. We assume that the dividend paid policy is barrier strategy. That is, whenever the surplus exceed a constant barrier, the excess is paid out immediately as dividend; otherwise no dividends are paid. The insurer can invest in the money market and in a risk asset. When dividend barrier is given, we study the insurer's optimal investment policy and optimal dividend. In Yang and Zhang [1], they studied ruin probability for Jump-diffusion risk model with investment; obtain numerical results of ruin probability. In this paper, for special claim-size distribution, we had given the numerical calculation of the optimal investment policy and dividend. Meanwhile, we had given the affect of some parameters for dividend.
出处
《重庆师范大学学报(自然科学版)》
CAS
CSCD
北大核心
2013年第6期92-97,共6页
Journal of Chongqing Normal University:Natural Science
基金
国家自然科学基金(No.10901164)
西京学院校级科研项目(No.XJ120106
XJ120109)