一类带税的对偶模型的门槛分红策略

doi:10.3969/j.issn.0253-2778.2014.03.003

中国科学技术大学学报 ›› 2014, Vol. 44 ›› Issue (3): 181-187.DOI: 10.3969/j.issn.0253-2778.2014.03.003

• 论著 • 上一篇

一类带税的对偶模型的门槛分红策略

刘章，王文元

1.江西农业大学理学院,江西南昌 330045;2.厦门大学数学科学学院,福建厦门 361005

收稿日期:2012-09-07 修回日期:2013-02-24 接受日期:2013-02-24 出版日期:2013-02-24 发布日期:2013-02-24

The threshold dividend strategy on a class of dual model with tax payments

LIU Zhang, WANG Wenyuan

1.College of Sciences, Jiangxi Agricultural University, Nanchang 330045, China; 2.School of Mathematical Sciences, Xiamen University, Xiamen 361005, China

Received:2012-09-07 Revised:2013-02-24 Accepted:2013-02-24 Online:2013-02-24 Published:2013-02-24
Contact: WANG Wenyuan
About author:LIU Zhang, male, born in 1981, master/leture. Research field: Financial and actuarial mathematics.
Supported by:
Supposed by the Fundamental Research Funds for the Central Universities of China and Jiangxi Agricultural University Youth Science Foundation (09003326).

摘要/Abstract

摘要： 研究了一类在安全负载体系下进行赋税且按照门槛策略进行分红的对偶风险模型.分析了此模型破产前折现分红的期望,得到了其满足的积分方程、积分-微分方程和相关的表达式.最后,在特例Erlang(2)分布下给出了一般解.

关键词: 复合Poisson盈余过程, 期望折现分红函数, 对偶风险模型, 门槛策略, 破产时刻

Abstract: A class of dual risk model was considered in which dividends are paid under a threshold strategy and tax payments are paid according to a loss-carry forward system. For this model, the expectation of the discounted dividends until ruin was investigated and their corresponding integral equations, integro-differential equations and analytical expressions were derived. Finally, the case where profits follow an Erlang(2) distribution was solved.

Key words: compound Poisson surplus process, expected discounted dividend function, dual risk model, threshold strategy, ruin time

中图分类号:

O211.5
O211.

刘章，王文元. 一类带税的对偶模型的门槛分红策略[J]. 中国科学技术大学学报, 2014, 44(3): 181-187.

LIU Zhang, WANG Wenyuan. The threshold dividend strategy on a class of dual model with tax payments[J]. Journal of University of Science and Technology of China, 2014, 44(3): 181-187.

参考文献

［1］ Avanzi B, Gerber H U, Shiu E S W. Optimal dividends in the dual model ［J］. Insurance: Mathematics and Economics, 2007,41:111-123.
［2］ Avanzi B, Gerber H U. Optimal dividends in the dual model with diffusion ［J］. ASTIN Bulletin, 2008,38(2):653667.
［3］ Avanzi B, Shen J, Wong B. Optimal dividends and capital injections in the dual model with diffusion ［J］. ASTIN Bulletin, 2011,41(2):611-644.
［4］ Gerber H, Smith N. Optimal dividends with incomplete information in the dual model ［J］. Insurance: Mathematics and Economics, 2008,43(2):227-233.
［5］ Ng Andrew C Y. On a dual model with a dividend threshold［J］. Insurance: Mathematics and Economics, 2009, 44(2): 315-324.
［6］ Liu Z, Ming R X, Wang W Y, et al. The threshold dividend strategy in the dual risk model perturbed by diffusion［J］．Journal of University of Science and Technology of China, 2012, 42(6): 475-481.
［7］ Albrecher H, Badescu A, Landriault D. On the dual risk model with tax payments［J］. Insurance: Mathematics and Economics, 2008, 42: 1 086-1 094.
［8］ Albrecher H, Borst S, Boxma O, et al. The tax identity in risk theory: A simple proof and an extension［J］. Insurance: Mathematics and Economics, 2009, 44: 304-306.
［9］ Albrecher H, Hipp C. Lundbergs risk process with tax［J］. Bltter der DGVFM, 2007, 28(1): 13-28.
［10］ Albrecher H, Renaud J, Zhou X W. A lévy insurance risk process with tax［J］. Journal of Applied Probability, 2008, 45: 363-375.
［11］ Wei L. Ruin probability in the presence of interest earnings and tax payments［J］. Insurance: Mathematics and Economics, 2009, 45: 133-138.
［12］ Ming R X, Wang W Y, Xiao L Q. On the time value of absolute ruin with tax［J］. Insurance: Mathematics and Economics, 2010, 46(1): 67-84.
［13］ Wang W Y, Ming R X, Hu Y J. On the expected discounted penalty function for the risk process with tax［J］. Statistics and Probability Letters, 2011, 81(4): 489-501.
［14］ Wang W Y, Hu Y J. Optimal loss-carry-forward taxation for the levy risk model［J］. Insurance: Mathematics and Economics, 2012, 50(1): 121-130.
［15］ Liu Z, Zhang A L, Li C H. The expected discounted tax payments on dual risk model under a dividend threshold［J］．Open Journal of Statistics, 2013, 3: 136-144.
［16］ Gerber H U, Shiu E S W. On optimal dividend strategies in the compound Poisson model［J］. North American Actuarial Journal, 2006, 10(2): 76-93.
［17］ De Finetti B. Su unimpostazione alternativa della teoria collettiva del rischio［C］// Proceedings of the Transactions of the XV International Congress of Actuaries, 1957, 2: 433-443.
［18］ Dong Y, Wang G, Yuen K C. On the renewal risk model under a threshold strategy［J］. Journal of Computational and Applied Mathematics, 2009, 230(1): 22-33.
［19］ Gerber H U, Shiu E S W. The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin［J］. Insurance: Mathematics and Economics, 1997, 21: 129-137.
［20］ Gerber H U, Shiu E S W. On the time value of ruin［J］. North American Actuarial Journal, 1998, 2: 48-78.

一类带税的对偶模型的门槛分红策略

The threshold dividend strategy on a class of dual model with tax payments

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 1

编辑推荐

Metrics

本文评价