带借方利息的复合泊松模型的最优股利问题与自愿破产障碍

2010 Third International Conference on Information and Computing Pub Date : 2010-06-04 DOI:10.1109/ICIC.2010.27

Zhao Jinyan, L. Guoxin

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引用次数: 0

摘要

研究了带借方利息的复合泊松模型中限制股利率设置下的最优股利问题。找到一个新的破产障碍，自愿破产障碍，在这个障碍之下保险公司宁愿停止他们的活动也不愿继续承担借方。给出了索赔金额呈指数分布时的显式解

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The Optimal Dividend Problem and the Voluntary Ruin Barrier in the Compound Poisson Model with Debit Interest

We consider the optimal dividend problem in the restricted dividend rate setting in the compound Poisson model with debit interest. And find a new ruin barrier–voluntary ruin barrier below which the insurers would rather stop their activities than continue taking the debit. Explicit solutions are given out when the claim amount distribution is exponential

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2010 Third International Conference on Information and Computing

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