CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY

doi:10.1016/S0252-9602(08)60037-5

数学物理学报(英文版)

CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY

周明; 郭军义

中国财经大学, 北京 100081

收稿日期:2005-11-28 修回日期:2006-08-16 出版日期:2008-04-20 发布日期:2008-04-20
通讯作者: 周明
基金资助:
Research supported by the National Natural Science Foundation of China (10571092) and the major program of Key Research Institute of Humanities and Social Sciences at Universities (04JJD790006).

CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY

Zhou Ming; Guo Junyi

CIAS, Central University of Finance and Economics, Beijing 100081, China

Received:2005-11-28 Revised:2006-08-16 Online:2008-04-20 Published:2008-04-20
Contact: Zhou Ming

摘要/Abstract

摘要：

In this article, a threshold dividend strategy is used for classical risk model. Under this dividend strategy, certain probability of ruin, which occurs in case of constant barrier strategy, is avoided. Using the strong Markov property of the surplus process and the distribution of the deficit in classical risk model, the survival probability for this model is derived, which is more direct than that in Asmussen (2000, P195, Proposition 1.10). The occupation time of non-dividend of this model is also discussed by means of Martingale method.

关键词: hreshold dividend strategy, ruin, occupation time, piecewise deterministic Markov process

Abstract:

Key words: hreshold dividend strategy, ruin, occupation time, piecewise deterministic Markov process

中图分类号:

60J25

周明; 郭军义. CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY[J]. 数学物理学报(英文版), 2008, 28(2): 355-362.

Zhou Ming; Guo Junyi. CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY[J]. Acta mathematica scientia,Series B, 2008, 28(2): 355-362.

[1]	张帅琪, 刘国欣, 孙梅慈. RUIN PROBABILITY IN THE CONTINUOUS-TIME COMPOUND BINOMIAL MODEL WITH INVESTMENT[J]. 数学物理学报(英文版), 2015, 35(2): 313-325.
[2]	房莹, 吴荣. ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND[J]. 数学物理学报(英文版), 2010, 30(5): 1730-1738.
[3]	马学敏, 袁海丽, 胡亦钧. DURATION OF NEGATIVE SURPLUS FOR A TWO STATE MARKOV-MODULATED RISK MODEL[J]. 数学物理学报(英文版), 2010, 30(4): 1167-1173.
[4]	明瑞星, 何晓霞, 胡亦钧, 刘娟. UNIFORM ESTIMATE ON FINITE TIME RUIN PROBABILITIES WITH RANDOM INTEREST RATE[J]. 数学物理学报(英文版), 2010, 30(3): 688-700.
[5]	袁海丽, 胡亦钧. OPTIMAL PROPORTIONAL REINSURANCE WITH CONSTANT DIVIDEND BARRIER[J]. 数学物理学报(英文版), 2010, 30(3): 791-798.
[6]	吕玉华, 吴荣, 徐润. THE JOINT DISTRIBUTIONS OF SOME ACTUARIAL DIAGNOSTICS FOR THE JUMP-DIFFUSION RISK PROCESS[J]. 数学物理学报(英文版), 2010, 30(3): 664-676.
[7]	王姗姗, 张春生, 吴荣. CALCULATIONS OF RUIN PROBABILITIES CONCERNING WITH CLAIM OCCURRENCES[J]. 数学物理学报(英文版), 2010, 30(3): 919-931.
[8]	王定成; 苏淳. A NOTE ON ASYMPTOTIC BEHAVIOR FOR NEGATIVE DRIFT RANDOM WALK WITH DEPENDENT HEAVY-TAILED STEPS AND ITS APPLICATION TO RISK THEORY[J]. 数学物理学报(英文版), 2007, 27(1): 11-24.
[9]	刘莉; 茆诗松. THE RISK MODEL OF THE EXPECTED DISCOUNTED PENALTY FUNCTION WITH CONSTANT INTEREST FORCE[J]. 数学物理学报(英文版), 2006, 26(3): 509-518.
[10]	张静; 任艳霞. ABSOLUTE CONTINUITIES OF EXIT MEASURES AND TOTAL WEIGHTED OCCUPATION TIME MEASURES FOR SUPER-α-STABLE PROCESSES[J]. 数学物理学报(英文版), 2006, 26(2): 358-370.
[11]	刘艳; 杨文权; 胡亦钧. ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES[J]. 数学物理学报(英文版), 2006, 26(2): 321-330.
[12]	党兰芬, 杨丽明. EXPLICIT EXPRESSIONS FOR SOME DISTRIBUTIONS RELATED TO RUIN PROBLEMS[J]. 数学物理学报(英文版), 2003, 23(1): 53-60.
[13]	李增沪. Some Central Limit Theroy for Super Brownian Motion[J]. 数学物理学报(英文版), 1999, 19(2): 121-126.
[14]	王永进. ABSOLUTE CONTINUITY OF THE OCCUPATION TIME PROCESSES WITH RESPECT TO LEBESGUE MEASURE FOR SUPER-BROWNIAN MOTION[J]. 数学物理学报(英文版), 1994, 14(S1): 1-7.

CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY

CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY

PDF (PC)

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 14

Metrics

本文评价

推荐阅读 10