常红利边界复合二项模型红利期望现值

吴辉; 谭激扬

常红利边界复合二项模型红利期望现值

引用本文：吴辉,谭激扬.常红利边界复合二项模型红利期望现值[J].经济数学,2010,27(3):41-46

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作者	单位
吴辉	(湘潭大学数学与计算科学学院概率论与数理统计,湖南湘潭411105)
谭激扬

中文摘要:在完全离散的复合二项风险模型基础上，考虑常红利边界策略下的红利支付问题.通过两种不同的方法,得到了红利期望现值所满足的两个方程.由这些方程特殊性质,在比较宽松的条件下,通过建立相应的迭代过程,求解出了直到破产发生时红利期望现值的近似值.

中文关键词:复合二项过程常红利边界红利期望现值压缩映射迭代

The Expected Present Value of Dividends in the Compound Binomial Model with a Constant Dividend Barrier

Abstract:Based on the fully discrete compound binomial model， the payments of dividends in the presence of constant dividend barrier were studied. We obtained two equations satisfying the expected present value of dividends through two different methods. Under a comparative relaxed condition, the approximate solution of the expected present value of dividends until ruin can be computed by setting up the corresponding iteration processes because of the special property of the equations.

keywords:compound binomial process constant dividend barrier the expected present value of dividends contraction, iteration

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