复合二项模型最优分红策略.pdf

Gerber(1988)[1] U V U (x). ℄ ℄ V U (x) i ON OPTIMAL DIVIDEND STRATEGIES IN THE COMPOUND BINOMIAL MODEL ABSTRACT Based on the compound binomial model, In this paper, we mainly study the issue that under what kind of strategy, an insurance company will be able to maximize the dividend, that is the optimal dividend problem. The compound binomial model, firstly proposed by Gerber(1988)[1]. It describes the discrete-time insurance risk surplus process properly. In this paper, we take dividend into account. That is, an insurance company should develop a strategy U for dividend in each point time and distribute a certain amount of balance as a dividend to all shareholders, but the divi- dends would not lead to bankruptcy. On this basis, we define the dividend performance function V U (x). Inspired by the stochastic control theory in a wide range of applications in the insurance risk, in this article, by dynamic programming principle we want to find a strategy for dividends, to make V U (x) maximized. This paper includes four chapters. The first chapter is an introduction.