Long run average profit for a spectrally negative Lévy risk model with regulation
This paper investigates a spectrally negative Lévy risk model with regulation imposed by a regulatory authority,who exercises a regulation barrier and penalties with cost.Under a given regulation,the insurance corporation operates its long run average profit per unit time,by choosing its investment-reinsurance-dividend policy.Then the long run average profit per unit time and the regulatory authority”s cost function can be expressed by functions of stationary joint distributions,respectively.In the concept of Stackelberg strategies,a joint insurance corporation-regulatory authority problem is investigated,as well as the corresponding optimal values are approximated by variable transformations in the numerical solution of Volterra integral equations.
Long run average profit per unit time Regulation barrier Stationary joint distributions Volterra integral equations
LI Manman LIU Zaiming DUAN Zhengmin
School of Economics and Business Administration Chongqing University Chongqing,400030,China Institute of Probability and Statistics School of Mathematics and Statistics Central South Universit College of Mathematics and Statistics Chongqing University Chongqing,401331,China
国内会议
广西桂林
英文
703-719
2017-07-19（万方平台首次上网日期，不代表论文的发表时间）