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| 摘要: |
| 本文研究了具有某混合指数索赔分布的经典复合泊松风险模型中的分红问题.利用随机控制理论,在无界分红强度的假设下,给出了值函数的显式表达式和相应的最优分红策略.推广了文献[4]的结果. |
| 关键词: 分红 混合指数分布 HJB方程 |
| DOI： |
| 分类号:O212.62 |
| 基金项目:Supported by the Nation Natural Science Foundation of China(11201005). |
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| DIVIDEND PROBLEMS IN THE CLASSICALCOMPOUND POISSON RISK MODEL WITH MIXEDEXPONENTIALLY DISTRIBUTED CLAIM SIZE |
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WANG Cui-lian
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| Abstract: |
| This paper studies the dividend problems in the classical compound Poisson risk model with some mixed exponentially distributed claim size. By using stochastic control theory, under the unbounded dividend intensity assumption, the explicit expression for the value function is obtained and the corresponding optimal dividend strategy is given, which generalize the results of [4]. |
| Key words: dividend mixed exponentially distributed HJB equation |
