On a dual model with a dividend threshold
Publication in refereed journal


香港中文大学研究人员 ( 现职)

伍卓贤教授 (金融学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.insmatheco.2008.11.011

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/31WOS source URL

其它资讯

摘要In insurance mathematics, a compound Poisson model is often used to describe the aggregate claims of the surplus process. In this paper, we consider the dual of the compound Poisson model under a threshold dividend strategy. We derive a set of two integro-differential equations satisfied by the expected total discounted dividends until ruin and show how the equations can be solved by using only one of the two integro-differential equations. The cases where profits follow an exponential or a mixture of exponential distributions are then solved and the discussion for the case of a general profit distribution follows by the use of Laplace transforms. We illustrate how the optimal threshold level that maximizes the expected total discounted dividends until ruin can be obtained, and finally we generalize the results to the case where the surplus process is a more general skip-free downwards Levy process. (C) 2008 Elsevier B.V. All rights reserved.

着者Ng ACY
会议名称Insurance - Mathematics and Economics Conference held in honor of Hans Gerber
会议开始日01.01.2008
会议地点Dalian
期刊名称Insurance: Mathematics and Economics
出版年份2009
月份4
日期1
卷号44
期次2
出版社Elsevier
页次http://aims.cuhk.edu.hk/converis/portal/Publication/315 - 324
国际标準期刊号0167-6687
电子国际标準期刊号1873-5959
语言英式英语

关键词Dual risk model; Optimal threshold problem; Ruin theory; Threshold strategy
Web of Science 学科类别Business & Economics; Economics; ECONOMICS; Mathematical Methods In Social Sciences; Mathematics; Mathematics, Interdisciplinary Applications; MATHEMATICS, INTERDISCIPLINARY APPLICATIONS; Social Sciences, Mathematical Methods; SOCIAL SCIENCES, MATHEMATICAL METHODS; Statistics & Probability; STATISTICS & PROBABILITY