摘要
在累计收入过程为复合泊松过程的对偶风险模型中,考虑了在障碍分红策略下的最优分红值的计算问题。首先应用Laplace变换得出最优分红值的精确解,当精确解无法得到时,应用离散的对偶风险模型来估计最优分红值。最后给出两个数值的例子加以说明,并对计算结果做出评价。
The optimal dividend barrier of the dual risk model under a barrier dividend strategy is considered in this pa- per. First the exact solution of the optimal dividend barrier is presented by Laplace transform. When analytic results are unavailable, the discrete time dual risk model can be used to provide approximations for the optimal dividend barrier. For illustration, the approximate values of optimal dividends are numerically compared in two numerical examples.
出处
《山东大学学报（理学版）》
CAS
CSCD
北大核心
2012年第5期115-121,共7页
Journal of Shandong University(Natural Science)
基金
安徽省高校青年教师资助项目(2007gq1016)
