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国家自然科学基金(10926161)

作品数:2 被引量:5H指数:2
发文基金:国家自然科学基金国家重点基础研究发展计划更多>>
相关领域:理学经济管理更多>>

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On Optimality of the Barrier Strategy for the Classical Risk Model with Interest被引量:2
2011年
In this paper, we consider the optimal dividend problem for a classical risk model with a constant force of interest. For such a risk model, a sufficient condition under which a barrier strategy is the optimal strategy is presented for general claim distributions. When claim sizes are exponentially distributed, it is shown that the optimal dividend policy is a barrier strategy and the maximal dividend-value function is a concave function. Finally, some known results relating to the distribution of aggregate dividends before ruin are extended.
Ying FangRong Wu
关键词:INTEREST
ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND被引量:3
2010年
We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Cerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes.
房莹吴荣
关键词:DIVIDENDINTEREST
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