We extend the classical compound Poisson risk model to the case where the premium income process, based on a Poisson process, is no longer a linear function.For this more realistic risk model, Lundberg type limiting r...We extend the classical compound Poisson risk model to the case where the premium income process, based on a Poisson process, is no longer a linear function.For this more realistic risk model, Lundberg type limiting results on the finite time ruin probabilities are derived. Asymptotic behaviour of the tail probabilities of the claim surplus process is also investigated.展开更多
In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generaliz...In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model includes the classical risk model and the Pólya-Aeppli risk model as special cases. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. We show that under some conditions the optimal dividend strategy is formed by a barrier strategy. Moreover, two conjectures are proposed.展开更多
基金The author is grateful to the referees for their comments and suggestions. This work was supported by the National Natural Science Foundation of China and the Ministry of Education of China.
文摘We extend the classical compound Poisson risk model to the case where the premium income process, based on a Poisson process, is no longer a linear function.For this more realistic risk model, Lundberg type limiting results on the finite time ruin probabilities are derived. Asymptotic behaviour of the tail probabilities of the claim surplus process is also investigated.
文摘In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model includes the classical risk model and the Pólya-Aeppli risk model as special cases. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. We show that under some conditions the optimal dividend strategy is formed by a barrier strategy. Moreover, two conjectures are proposed.
