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OPTIMAL PROPORTIONAL REINSURANCE WITH CONSTANT DIVIDEND BARRIER 被引量:1
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作者 袁海丽 胡亦钧 《Acta Mathematica Scientia》 SCIE CSCD 2010年第3期791-798,共8页
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
关键词 Stochastic control constant barrier time of ruin expected discounted dividend payment MOMENTS Laplace transform of the time of ruin
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The Perturbed Compound Poisson Risk Model with Proportional Investment
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作者 Nai-dan Deng Chun-wei Wang Jia-en Xu 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2024年第1期109-128,共20页
In this paper, the insurance company considers venture capital and risk-free investment in a constant proportion. The surplus process is perturbed by diffusion. At first, the integro-differential equations satisfied b... In this paper, the insurance company considers venture capital and risk-free investment in a constant proportion. The surplus process is perturbed by diffusion. At first, the integro-differential equations satisfied by the expected discounted dividend payments and the Gerber-Shiu function are derived. Then, the approximate solutions of the integro-differential equations are obtained through the sinc method. Finally, the numerical examples are given when the claim sizes follow different distributions. Furthermore, the errors between the explicit solution and the numerical solution are discussed in a special case. 展开更多
关键词 expected discounted dividend payments lognormal distribution proportional investment perturbed risk model sinc numerical method
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A Note on the Perturbed Compound Poisson Risk Model with a Threshold Dividend Strategy
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作者 Bo Li Rong Wu 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2009年第2期205-216,共12页
In this paper, we consider the Perturbed Compound Poisson Risk Model with a threshold dividend strategy (PCT). Integro-differential equations (IDE) for its Cerber-Shiu functions and dividend payments function are ... In this paper, we consider the Perturbed Compound Poisson Risk Model with a threshold dividend strategy (PCT). Integro-differential equations (IDE) for its Cerber-Shiu functions and dividend payments function are stated. We maily focus on deriving the boundary conditions to solve these equations. 展开更多
关键词 Gerber-Shiu function threshold dividend strategy expected discounted payments function integro-differential equation
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