The optimal dividend problem and the voluntary ruin barrier in the compound Poisson model with debit interest

机译：借记利息复合泊松模型中最佳股息问题和自愿毁灭障碍

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We consider the optimal dividend problem in the restricted dividend rate setting in the compound Poisson model with debit interest. And find a new ruin barrier-voluntary ruin barrier below which the insurers would rather stop their activities than continue taking the debit. Explicit solutions are given out when the claim amount distribution is exponential.

机译：我们考虑了通过借记息息借记息泊贷模型中受限制股息率设置的最佳股息问题。并找到一个新的废墟障碍 - 自愿毁灭障碍，保险公司宁愿停止他们的活动，而不是继续借记。当索赔金额分布是指数的时，会发出显式解决方案。

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《International Conference on Information and Computing》|2010年||共4页
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作者
Zhao Jinyan; Liu Guoxin;
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中图分类 G20-53;
关键词
The optimal dividend problem; Optimal strategy; Voluntary ruin barrier; Value function; HJB equation; Threshold strategy;

机译：最佳股息问题;最佳策略;自愿毁灭障碍;价值函数;HJB方程;门槛策略;

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专利

1. Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves [J] . Dan Peng, Donghai Liu, Zhenting Hou Advances in Difference Equations . 2016,第1期

机译：具有恒定股息壁垒和流动储备的复合Poisson风险模型中的绝对破产问题
2. Absolute ruin in the compound Poisson risk model with constant dividend barrier [J] . Yuan HL, Hu YJ Statistics & Probability Letters . 2008,第14期

机译：具有恒定股利屏障的复合Poisson风险模型的绝对破产
3. Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves [J] . Long Yang, Chuanjiang He Applied stochastic models in business and industry . 2014,第2期

机译：具有贷方和借方利息以及流动准备金的复合Poisson模型的绝对破产
4. The optimal dividend problem and the voluntary ruin barrier in the compound Poisson model with debit interest [C] . Zhao Jinyan, Liu Guoxin International Conference on Information and Computing . 2010

机译：借记利息复合泊松模型中最佳股息问题和自愿毁灭障碍
5. Periodicity and ruin probabilities for compound non-homogeneous Poisson processes. [D] . Lu, Yi. 2001

机译：复合非均匀泊松过程的周期性和破产概率。
6. Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process [O] . Chuancun Yin, Kam Chuen Yuen, Ying Shen 2015

机译：一般Lévy过程的破产概率凸性和最优分红策略
7. Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves [O] . 2016

机译：具有恒定股息壁垒和流动储备的复合Poisson风险模型中的绝对破产问题

The optimal dividend problem and the voluntary ruin barrier in the compound Poisson model with debit interest

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