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带扰动的常利率对偶风险模型的分红问题研究-数学、概率与数理统计专业论文
曲阜
曲阜师范大学硕士学位论文
PAGE
PAGE iii
Abstract
In actuarial mathematics, it has a lot of work to the classical risk model under the optimal dividend problem. But with the development of financial business and insurance business, the classical risk model of dual model has been paid more attention. The literature [42] has mainly researched the dual risk model with constant interest, and given the expression of the expected discounted dividend payments V (u; b) and the moments of the discounted dividend payments Vn(u; b), when the profit compliance exponential distribution. In this paper, we mainly research the dividend strategies for the perturbed dual risk model with constant interest.
In this paper, there are four chapters.
In chapter 1, we mainly research the history and the status of the dual risk model, give symbols and the formula used in this article, and explain the meaning of what they said.
In chapter 2, we mainly introduce the barrier dividend strategies for the perturbed dual risk model with constant interest. We respectively research the expected discounted dividend payments V (u; b) and the moment generating function of the discounted dividend payments M (u, y; b), and give the integro-differential equations that they satisfied.
Theorem 1 The expected discounted dividend payments V (u; b) satisfy the integro- differential equation
1
2σ2V II(u; b) + (ru ? c)V I(u; b) = (λ + δ)V (u; b) ? λ
2
r +∞
b?u
(u ? b + x)dFX (x) ? λV (b; b).
Theorem 2 The moment generating function of the discounted dividend payments
M (u, y; b) satisfy the integro-differential equation
1 ?2M ?M ?M
σ2
2 ?u2 (u, y; b) ? δy ?y (u, y; b) + (ru ? c) ?u (u, y; b) =
r +∞
λM (u, y; b) ? λ
b?u
M (u + x ? b, y; b)dFX (x) ? λM (b, y; b).
In chapter 3, we mainly research the threshold dividend strategies for the perturbed dual risk model with constant interest. We respectively research the expected discount- ed dividend payments and the moment generating function of the discounted dividend
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