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CN 41-1437/TS  ISSN 2096-1553

逐段决定复合泊松风险模型的最优分红与注资策略

岳毅蒙 ,  王欣 ,  赵锐

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岳毅蒙, 王欣, 赵锐. 逐段决定复合泊松风险模型的最优分红与注资策略[J]. 轻工学报, 2015, 30(3-4): 157-160. doi: 10.3969/j.issn.2095-476X.2015.3/4.033
引用本文: 岳毅蒙, 王欣, 赵锐. 逐段决定复合泊松风险模型的最优分红与注资策略[J]. 轻工学报, 2015, 30(3-4): 157-160. doi: 10.3969/j.issn.2095-476X.2015.3/4.033
shu
YUE Yi-meng, WANG Xin and ZHAO Rui. Optimal dividend and capital injection strategies in the piecewise-deterministic compound Poisson risk model[J]. Journal of Light Industry, 2015, 30(3-4): 157-160. doi: 10.3969/j.issn.2095-476X.2015.3/4.033
Citation: YUE Yi-meng, WANG Xin and ZHAO Rui. Optimal dividend and capital injection strategies in the piecewise-deterministic compound Poisson risk model[J]. Journal of Light Industry, 2015, 30(3-4): 157-160. doi: 10.3969/j.issn.2095-476X.2015.3/4.033
shu

逐段决定复合泊松风险模型的最优分红与注资策略

  • 商洛学院 数学与计算机应用学院, 陕西 商洛 726000;

  • 商洛学院 经济与管理学院, 陕西 商洛 726000

  • 基金项目: 陕西省自然科学基础研究计划项目(2013JM1023)
    商洛学院教改项目(14JYJX103,15JYJX118)
    商洛学院科研项目(13SKY013)
    陕西省教育厅科研项目(2013JK0605)

  • 中图分类号: O211.6;F840

Optimal dividend and capital injection strategies in the piecewise-deterministic compound Poisson risk model

  • Faculty of Mathematics and Computer Application, Shangluo University, Shangluo 726000, China;

  • Faculty of Economics and Management, Shangluo University, Shangluo 726000, China

  • Received Date: 2015-01-14
    Available Online: 2015-09-15

    CLC number: O211.6;F840

  • 摘要: 研究了逐段决定复合泊松风险模型的最优分红和注资问题,以股东的破产时刻折现分红减去惩罚折现注资的差的期望值最大化为目标,通过求解相应的HJB方程,得到了对应的值函数,进而得出最优分红和注资策略是Threshold策略的结论,使风险模型更加符合实际,更具现实意义.
    Abstract: Optimal dividend payments and capital injections of the piecewise-deterministic compound Poisson risk model were discussed.The objective of an insurance business under consideration was to maximize the discounted dividend payments minus the penalized discounted capital injections.By a method to determine numerically the solution to the HJB equation,the corresponding Hamilton-Jacobi-Bellman equation was derived.And the optimal dividend and strategy was the Threshold strategy.This conclusion made the risk model have more realistic and more practical significance.
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  • 收稿日期:  2015-01-14
  • 刊出日期:  2015-09-15
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岳毅蒙, 王欣, 赵锐. 逐段决定复合泊松风险模型的最优分红与注资策略[J]. 轻工学报, 2015, 30(3-4): 157-160. doi: 10.3969/j.issn.2095-476X.2015.3/4.033
引用本文: 岳毅蒙, 王欣, 赵锐. 逐段决定复合泊松风险模型的最优分红与注资策略[J]. 轻工学报, 2015, 30(3-4): 157-160. doi: 10.3969/j.issn.2095-476X.2015.3/4.033
shu
YUE Yi-meng, WANG Xin and ZHAO Rui. Optimal dividend and capital injection strategies in the piecewise-deterministic compound Poisson risk model[J]. Journal of Light Industry, 2015, 30(3-4): 157-160. doi: 10.3969/j.issn.2095-476X.2015.3/4.033
Citation: YUE Yi-meng, WANG Xin and ZHAO Rui. Optimal dividend and capital injection strategies in the piecewise-deterministic compound Poisson risk model[J]. Journal of Light Industry, 2015, 30(3-4): 157-160. doi: 10.3969/j.issn.2095-476X.2015.3/4.033
shu

逐段决定复合泊松风险模型的最优分红与注资策略

  • 商洛学院 数学与计算机应用学院, 陕西 商洛 726000;
  • 商洛学院 经济与管理学院, 陕西 商洛 726000
  • 收稿日期: 2015-01-14
  • 网络出版日期: 2015-09-15
基金项目:  陕西省自然科学基础研究计划项目(2013JM1023)商洛学院教改项目(14JYJX103,15JYJX118)商洛学院科研项目(13SKY013)陕西省教育厅科研项目(2013JK0605)

摘要: 研究了逐段决定复合泊松风险模型的最优分红和注资问题,以股东的破产时刻折现分红减去惩罚折现注资的差的期望值最大化为目标,通过求解相应的HJB方程,得到了对应的值函数,进而得出最优分红和注资策略是Threshold策略的结论,使风险模型更加符合实际,更具现实意义.

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