阈红利策略下带有扰动的对偶风险模型的最优红利

In the dual model, the surplus of a company is a levy process with sample paths that are skip-free downwards. In this paper,with a dividend threshold, the aggregate gains process is the sum of a shifted compound Poisson process and a independent Winer process. We derived a set of two integro -differential equations satisfied by the expected total discounted dividends until ruin and show how the equation can be solved by using only one of the two integro-differential equation. The cases where profits follow an exponential or a mixture of exponential distributiaons are then solved and the discussion for the cases of a general profit distribution follows by the use of laplace transforms. We illustrated how the optimal threshold level that maxmizes the expected total discounted dividends until ruin can be obtained.