边界分红策略下跳-扩散风险过程的最优投资

Under Barrier Dividend the Optimal Investment For Jump-Diffusion Risk Process

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.