A modified classical model with a dividend barrier is considered. It is shown that there is a simple approximation formula for the time of ruin when the level of dividend barrier is high and the claim sizes have a dis...A modified classical model with a dividend barrier is considered. It is shown that there is a simple approximation formula for the time of ruin when the level of dividend barrier is high and the claim sizes have a distribution that belongs to S（γ） with γ 〉0.展开更多
In this article, we consider an optimal proportional reinsurance with constant dividend barrier. First, we derive the Hamilton-Jacobi-Bellman equation satisfied by the expected discounted dividend payment, and then ge...In this article, we consider an optimal proportional reinsurance with constant dividend barrier. First, we derive the Hamilton-Jacobi-Bellman equation satisfied by the expected discounted dividend payment, and then get the optimal stochastic control and the optimal constant barrier. Secondly, under the optimal constant dividend barrier strategy, we consider the moments of the discounted dividend payment and their explicit expressions are given. Finally, we discuss the Laplace transform of the time of ruin and its explicit expression is also given.展开更多
We consider a dividends model with a stochastic jump perturbed by diffusion. First, we prove that the expected discounted dividends function is twice continuously differentiable under the condition that the claim dist...We consider a dividends model with a stochastic jump perturbed by diffusion. First, we prove that the expected discounted dividends function is twice continuously differentiable under the condition that the claim distribution function has continuous density. Then we show that the expected discounted dividends function under a barrier strategy satisfies some integro-differential equation of defective renewal type, and the solution of which can be explicitly expressed as a convolution formula. Finally, we study the Laplace transform of ruin time on the modified surplus process.展开更多
Periodic dividend problem is a meaningful issue. Based on a compound binomial model with periodic dividend, we use a homogeneous, ergodic and irreducible discrete-time Markov chain to express the evolution from one pe...Periodic dividend problem is a meaningful issue. Based on a compound binomial model with periodic dividend, we use a homogeneous, ergodic and irreducible discrete-time Markov chain to express the evolution from one period to the subsequent of the economic or the environmental and climatic conditions. We derive some properties about the model. A system of integral equations for the expectation and the r-th moment of discounted dividends until ruin time are obtained respectively. Moreover, by using of Contraction Mapping Principle, we solve the equation system and obtain the explicit expression.展开更多
In this paper, we investigate a Sparre Andersen risk model perturbed by diffusion with phase-type inter-claim times. We mainly study the distribution of maximum surplus prior to ruin. A matrix form of integro-differen...In this paper, we investigate a Sparre Andersen risk model perturbed by diffusion with phase-type inter-claim times. We mainly study the distribution of maximum surplus prior to ruin. A matrix form of integro-differential equation for this quantity is derived, and its solution can be expressed as a linear combination of particular solutions of the corresponding homogeneous integro-differential equations. By using the divided differences technique and nonnegative real part roots of Lundberg＇s equation, the explicit Laplace transforms of particular solutions are obtained. Specially, we can deduce closed-form results as long as the individual claim size is rationally distributed. We also give a concise matrix expression for the expected discounted dividend payments under a barrier dividend strategy. Finally, we give some examples to present our main results.展开更多
基金Supported by the NNSF of China(10471076)the Science Foundation of Qufu Normal University.
文摘A modified classical model with a dividend barrier is considered. It is shown that there is a simple approximation formula for the time of ruin when the level of dividend barrier is high and the claim sizes have a distribution that belongs to S（γ） with γ 〉0.
基金Supported in part by the National Natural Science Foun-dation of China and the Ministry of Education of China
文摘In this article, we consider an optimal proportional reinsurance with constant dividend barrier. First, we derive the Hamilton-Jacobi-Bellman equation satisfied by the expected discounted dividend payment, and then get the optimal stochastic control and the optimal constant barrier. Secondly, under the optimal constant dividend barrier strategy, we consider the moments of the discounted dividend payment and their explicit expressions are given. Finally, we discuss the Laplace transform of the time of ruin and its explicit expression is also given.
基金Acknowledgements This work was supported by the National Natural Science Foundation of China （Grant No. 11171179）.
文摘We consider a dividends model with a stochastic jump perturbed by diffusion. First, we prove that the expected discounted dividends function is twice continuously differentiable under the condition that the claim distribution function has continuous density. Then we show that the expected discounted dividends function under a barrier strategy satisfies some integro-differential equation of defective renewal type, and the solution of which can be explicitly expressed as a convolution formula. Finally, we study the Laplace transform of ruin time on the modified surplus process.
基金supported by the National Natural Science Foundation of China(Grant Nos.1163113211626094)+1 种基金Scientic Research Foundation of Hunan Provincial Department(Grant Nos.16C029615A032)
基金Supported by NSFC(Grant Nos.11171101,11271121)Doctoral Fund of Education Ministry of China(Grant No.20104306110001)+1 种基金Graduate Student Research Innovation Project in Hu’nan Province(Grant No.CX2013B215)the Construct Program of the Key Discipline in Hu’nan Province,Science and Technology Program of Hu’nan Province(Grant No.2014FJ3058)
文摘Periodic dividend problem is a meaningful issue. Based on a compound binomial model with periodic dividend, we use a homogeneous, ergodic and irreducible discrete-time Markov chain to express the evolution from one period to the subsequent of the economic or the environmental and climatic conditions. We derive some properties about the model. A system of integral equations for the expectation and the r-th moment of discounted dividends until ruin time are obtained respectively. Moreover, by using of Contraction Mapping Principle, we solve the equation system and obtain the explicit expression.
基金Supported by National Basic Research Program of China （973 Program） 2007CB814905, National Natural Science Foundation of China （Grant No. 10871102）, and the Keygrant Project of Chinese Ministry of Education （Grant No. 309009）
文摘In this paper, we investigate a Sparre Andersen risk model perturbed by diffusion with phase-type inter-claim times. We mainly study the distribution of maximum surplus prior to ruin. A matrix form of integro-differential equation for this quantity is derived, and its solution can be expressed as a linear combination of particular solutions of the corresponding homogeneous integro-differential equations. By using the divided differences technique and nonnegative real part roots of Lundberg＇s equation, the explicit Laplace transforms of particular solutions are obtained. Specially, we can deduce closed-form results as long as the individual claim size is rationally distributed. We also give a concise matrix expression for the expected discounted dividend payments under a barrier dividend strategy. Finally, we give some examples to present our main results.
