| 随机利率下相依索赔的离散风险模型的分红问题 |
| |
| 引用本文： | 彭丹,侯振挺,刘再明.随机利率下相依索赔的离散风险模型的分红问题[J].应用数学学报,2011,34(6). |
| |
| 作者姓名： | 彭丹 侯振挺 刘再明 |
| |
| 作者单位： | 1. 中南大学数学科学与计算技术学院,长沙410075;湖南科技大学数学与计算科学学院,湘潭411201
2. 中南大学数学科学与计算技术学院,长沙,410075 |
| |
| 基金项目： | 国家自然科学基金，教育部人文社会科学青年基金 |
| |
| 摘 要： | 本文考虑随机利率下相依索赔的离散风险模型,模型中假设每次主索赔可能引起一次副索赔,而每次副索赔有可能延迟发生,当资产盈余达到边界b时,公司给投保者分发一定红利；考虑预期红利的现值时,假设利率服从一有限状态空间的马尔可夫链,我们得到了破产前预期累积分红所满足的差分方程及特殊索赔情形下预期累积分红现值的精确解析式,并结合实例进行了数值模拟.
|
| 关 键 词： | 红利 相依索赔 随机利率 离散风险模型 |
The Dividend Problems in the Correlated Discrete Risk Model under Stochastic Interest Rates |
| |
| PENG DAN,HOU ZHENTING,LIU ZAIMING.The Dividend Problems in the Correlated Discrete Risk Model under Stochastic Interest Rates[J].Acta Mathematicae Applicatae Sinica,2011,34(6). |
| |
| Authors: | PENG DAN HOU ZHENTING LIU ZAIMING |
| |
| Affiliation: | PENG DAN (Department of Mathematics,Central South University,Changsha 410075) (Department of Mathematics,Hunan University of Science and Technology,Xiangtan 411201) HOU ZHENTING LIU ZAIMING (Department of Mathematics,Changsha 410075) |
| |
| Abstract: | This paper studies a correlated discrete risk model under stochastic interest rates,in which every main claim may produce a by-claim and the occurrence of the byclaim may be delayed.The company pays dividends to policyholders when the surplus is higher than a constant dividend barrier b.In the evaluation of the expected present value of dividends,the interest rates are assumed to follow a Markov chain with finite state space, we have obtained the difference equations for the expected present value of total ... |
| |
| Keywords: | dividend correlated claims stochastic interest rates discrete risk model |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
