具有随机观测周期的经典风险模型中最优分红和注资策略（英文）.pdfVIP

应用概率统计 第三十卷 ChineseJournalofAppliedProbability 第六期 2014年l2月 andStatisticsVo1．30No．6Dec．2014 TheOptimalDividendandCapitalInjectionStrategies in theClassicalRisk M odelwithRandom ized observation Periods W ANG CUILIAN LIU XIAO XU LIN fSch。。fofMathem。tics口ndCompterScience，AnhiNorm。lUniversity，Wuhu，241003) Abstract Thispaperconsiderstheoptimaldividendandcapitalinjectionstrategiesintheclassical riskmodelwith randomized observation periods． Assume thatruin isprohibited．W eaim to maximise theexpected discounted dividend paymentsminustheexpected penalised discounted capitalinjections．WederivetheassociatedHamilton-Jacobi—Bellman (HJB)equationandprove theverificationtheorem ．Theoptimalcontrolstrategyandtheoptimalvaluefunctionareobtained undertheassumption thattheclaim sizesareexponentiallydistributed． Keywords： Dividend，capitalinjection，Hamilton—Jacobi—Bellmanequation． AMSSubjectClass讯cation： 62P05，91B30，91B70． §1． Introduction Findinganoptimaldividendstrategy hasbeen an importantproblem inactuarial sciencessince “dividend”wasconsideredas acriterionformeasuringthestabilityofan insurancecompany．DeFinetti(1957)firstproposedthiscriterionandsolvedtheproblem inadiscretetimerandom walkmodelbystochasticcontroltheory,andshowedthatthe optimaldividendstrategy isabarrierstrategy．Inrecentyears，manyresearchesonthe issueofmaximizationofthedividendpaymentsuntilruin havebeenproduced．Avanzi (2009)andAlbrecherandThonhauser(2009)aretwocomprehensivereviewsbefore2009． Inmostoftheliterature，thesurplusprocessesarecontinuouslyobservedanddividend canbepaidatanytimewhenthesurplusispositive．ButAlbrechereta1．(2011a，2013) argued thatitWas morereasonablethatcompaniescheck