| 摘要: |
| 本文研究了常数红利边界下一类马氏风险模型的红利派发矩,破产前所有红利的分布等相关问题.利用更新方法,给出了该模型破产前红利折现的期望满足的微分-积分方程,得到破产前所有红利的分布.通过构造特殊的初始条件,得到了相关的方程组解,推广了文献[3]的结果. |
| 关键词: 马氏风险模型 红利 微分-积分方程 |
| DOI： |
| 分类号:O211.9 |
| 基金项目:Supported in part by Hubei Normal University Post-Graduate Foundation(2010C16;2010C17); the Science and Technology foundation of Hubei(D20092207) |
|
| A MARKOV RISK MODEL WITH A CONSTANT DIVIDEND BARRIER |
|
LIU Juan,XU Jian-cheng,HU Hong-chang
|
|
LIU Juan,XU Jian-cheng,HU Hong-chang(School of Mathematics and Statistics,Hubei Normal University,Huangshi 435002,China)
|
| Abstract: |
| In this paper, a Markov risk model with a constant dividend barrier is considered. A system of integro-differential equations satisfied by the expected present value of the total dividends until ruin is derived and solved. Some dividend related problems are also obtained. |
| Key words: Markov risk model dividend payments integro-differential equations |
