基于MAP风险模型的最优分红问题研究

Abstract

Abstract:

In this paper, we model the surplus process of the insurance by the classical compound Poisson risk model modulated by an continuous-time Markov chain, which is the phase process of a Markovian Arrival Process(MAP). The surplus process can't be observed continuously. The observation and the possible dividend are restricted to a sequence of random discrete time points which are determined by the same MAP. The insurance has only observation opportunities at some of these random time points, and has both observation and paying dividend opportunities at the other random time points. The object of the insurance is to select the dividend strategy that maximizes the expected total discounted dividend payments until ruin. The purpose of this paper is to analyze the impact of the paying dividend opportunity and the economic state on the value functions and dividend strategies. We show that the optimal dividend pay-out policy is a band policy at dividend pay-out times.

Key words: Discounted dividend payments, Randomized observation periods, MAP, Bellman equation

CLC Number:

O211.9

Chen Xu, Yang Xiangqun. Optimal Dividend-Payout in a MAP Risk Model[J].Acta mathematica scientia,Series A, 2016, 36(1): 176-186.

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References

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Optimal Dividend-Payout in a MAP Risk Model

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