阈值分红策略下带常利率的对偶风险模型
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引用本文:何庆国,何传江.阈值分红策略下带常利率的对偶风险模型[J].经济数学,2012,(4):67-70
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作者单位
何庆国,何传江 (重庆大学数学与统计学院重庆401331) 
中文摘要:研究了常利率下基于对偶复合泊松模型带阈值的分红策略,给出了公司在破产时累积红利期望现值函数的两个积分-微分方程,分情况讨论了收益服从指数分布时的显示表达式,以及服从一般分布时的拉普拉斯变换表达式.
中文关键词:对偶模型  常利率  阈值分红  Laplace 变换
 
Dividend Payments with Constant Interest and A Threshold Strategy in the Dual Model
Abstract:This paper considers the dividend payments with constant interest and a threshold strategy in the dual model. Two integro-differential equations for the expected discounted dividends until ruin are derived and solved when the individual profit size distribution is exponential. Finally, the equations are discussed in the case of a general profit distribution by the use of Laplace transforms.
keywords:dual model  constant interest  threshold dividend  Laplace transforms
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