In this paper, we consider the dual risk model in which periodic taxation are paid according to a loss-carry-forward system and dividends are paid under a threshold strategy. We give an analytical approach to derive t...In this paper, we consider the dual risk model in which periodic taxation are paid according to a loss-carry-forward system and dividends are paid under a threshold strategy. We give an analytical approach to derive the expression of gδ(u) (i.e. the Laplace transform of the first upper exit time). We discuss the expected discounted tax payments for this model and obtain its corresponding integro-differential equations. Finally, for Erlang (2) inter-innovation distribution, closedform expressions for the expected discounted tax payments are given.展开更多
We consider the Sparre Andersen risk process in the presence of a constant dividend barrier, and propose a new expected discounted penalty function which is different from that of Gerber and Shiu. We find that iterati...We consider the Sparre Andersen risk process in the presence of a constant dividend barrier, and propose a new expected discounted penalty function which is different from that of Gerber and Shiu. We find that iteration mothed can be used to compute the values of expected discounted dividends until ruin and the new penalty function. Applying the new function and the recursion method proposed in Section 5, we obtain the arbitrary moments of discounted dividend payments until ruin.展开更多
We consider a perturbed compound Poisson risk model with randomized dividend-decision times. Different from the classical barrier dividend strategy, the insurance company makes decision on whether or not paying off di...We consider a perturbed compound Poisson risk model with randomized dividend-decision times. Different from the classical barrier dividend strategy, the insurance company makes decision on whether or not paying off dividends at some discrete time points （called dividend-decision times）. Assume that at each dividend-decision time, if the surplus is larger than a barrier b 〉 O, the excess value will be paid off as dividends. Under such a dividend strategy, we study how to compute the moments of the total discounted dividend payments paid off before ruin.展开更多
This paper proposes an assumption of quasi-variable discount rates to explain the excess volatility puzzle of stock market. Under the assumption, the ARMAX model is derived based on the CCAPM model and CRRA utility fu...This paper proposes an assumption of quasi-variable discount rates to explain the excess volatility puzzle of stock market. Under the assumption, the ARMAX model is derived based on the CCAPM model and CRRA utility function to describe the linear relationship between the discount rate and the consumption growth rate. We conducted empirical research on this model using historical data of the US stock market. The results confirm a significantly negative relationship between consumption growth rate and discount rate. Subsequently, the results of Monte Carlo simulation show that given the risk preference coefficient and dividend sequence, the rational expectations price fluctuation obtained under the assumption of quasivariable discount rate is the largest.展开更多
文摘In this paper, we consider the dual risk model in which periodic taxation are paid according to a loss-carry-forward system and dividends are paid under a threshold strategy. We give an analytical approach to derive the expression of gδ(u) (i.e. the Laplace transform of the first upper exit time). We discuss the expected discounted tax payments for this model and obtain its corresponding integro-differential equations. Finally, for Erlang (2) inter-innovation distribution, closedform expressions for the expected discounted tax payments are given.
文摘We consider the Sparre Andersen risk process in the presence of a constant dividend barrier, and propose a new expected discounted penalty function which is different from that of Gerber and Shiu. We find that iteration mothed can be used to compute the values of expected discounted dividends until ruin and the new penalty function. Applying the new function and the recursion method proposed in Section 5, we obtain the arbitrary moments of discounted dividend payments until ruin.
基金Acknowledgements The author would like to thank the anonymous referees for valuable suggestions which significantly improved the paper. This work was supported by the National Natural Science Foundation of China （Grant No. 11471058）, the Natural Science Foundation Project of CQ CSTC of China （Grant No. cste2014jcyjA00007）, the MOE （Ministry of Education in China） Project of Humanities and Social Sciences （Grant No. 16YJC910005）, and the Fundamental Research Funds for the Central Universities （Grant No. 106112015CD- JXY100006）.
文摘We consider a perturbed compound Poisson risk model with randomized dividend-decision times. Different from the classical barrier dividend strategy, the insurance company makes decision on whether or not paying off dividends at some discrete time points （called dividend-decision times）. Assume that at each dividend-decision time, if the surplus is larger than a barrier b 〉 O, the excess value will be paid off as dividends. Under such a dividend strategy, we study how to compute the moments of the total discounted dividend payments paid off before ruin.
基金Supposed by the Fundamental Research Funds for the Central Universities of China and Jiangxi Agricultural University Youth Science Foundation(09003326)
基金Supported by the National Natural Science Foundation of China(11771343,11601097)the Science and Technology Research Project of Jiangxi Provincial Education Department(GJJ180201,GJJ150401)
基金funded by National Natural Science Foundation of China under Grant Nos. 71320107003 and 71661137001.
文摘This paper proposes an assumption of quasi-variable discount rates to explain the excess volatility puzzle of stock market. Under the assumption, the ARMAX model is derived based on the CCAPM model and CRRA utility function to describe the linear relationship between the discount rate and the consumption growth rate. We conducted empirical research on this model using historical data of the US stock market. The results confirm a significantly negative relationship between consumption growth rate and discount rate. Subsequently, the results of Monte Carlo simulation show that given the risk preference coefficient and dividend sequence, the rational expectations price fluctuation obtained under the assumption of quasivariable discount rate is the largest.
