文献详情
On the dividends of the risk model with Markovian barrier
文献类型：期刊
通讯作者：Bi, JN (reprint author), East China Normal Univ, Sch Stat, Key Lab Adv Theory & Applicat Stat & Data Sci MOE, 500 Dongchuan Rd, Shanghai 200241, Peoples R China.
期刊名称：COMMUNICATIONS IN STATISTICS-THEORY AND METHODS影响因子和分区
年：2020
卷：49
期：5
页码：1272-1280
ISSN：0361-0926
关键词：Proportional dividend; diffusion process; Markov process; numerical example
所属部门：商学院
摘要：In this article, we study the optimal dividend problem for insurance company. The asset of the company is driven by a diffusion process and the dividend barrier follows a Markov process. Using the stochastic optimal control theory, the explicit expressions for the discounted expectation of the aggregate dividends is derived. Finally, numerical example is given to illustrate our results.
DOI：10.1080/03610926.2018.1563175
百度学术：On the dividends of the risk model with Markovian barrier
语言：外文
人气指数：1
浏览次数：1
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On the dividends of the risk model with Markovian barrier.Meng, Qingbin, Bi, Junna,.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS. 2020, 49(5), 1272-1280.