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具有随机分红决定时间的风险模型中分红现值的矩

Moments of discounted dividend payments in a risk model with randomized dividend-decision times

中文摘要英文摘要

本文研究了一个具有随机分红决定时间的风险模型。与传统的门限分红策略不同,保险公司将在一些离散时间点上对是否分红做出决策。在分红决策时间,如果盈余超过某一给定门限$b$,超出值将作为红利进行发放。在该分红策略下,文章给出了破产前分红现值总额的矩的计算方法。

In this paper, we consider a perturbed risk model with randomized dividend-decision times. Different from the classical barrierdividend strategy, the insurance company makes decision on whether or not paying off dividends at some discrete time points (calleddividend-decision times). Assume that at the dividend-decision time, if the surplus is larger than a barrier $b$, the excess value willbe paid out as dividends. Under such dividend strategy, we study how to compute the moments of the total discounted dividend paymentspaid off before ruin.

刘朝林、张志民

数学

应用数学分红决策时间积分方程分红破产

pplied mathematicsDividend-decision timeIntegral equationDividend paymentsRuin

刘朝林,张志民.具有随机分红决定时间的风险模型中分红现值的矩[EB/OL].(2013-11-21)[2025-08-16].http://www.paper.edu.cn/releasepaper/content/201311-408.点此复制

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