Approximations of the Optimal Dividends Barrier in Classical Risk Model
We consider methods for estimating the optimal dividend barrier in the classical risk model. If an individual claim is a mixtures of exponential probability density function, we obtain a closed form expression for expectation of the discounted dividends and exact value of the optimal dividends barrier by laplace transform. When the analytic result for expectation of the discounted dividends is unavailable, two methods are provided to estimate the optimal dividends barrier, one is by the famous Cramer-lundberg asymptotic formula, the other is by discrete time model. For illustration, the approximate values of optimal dividends are compared numerically with the exact values in two numerical examples. The results show that tbe optimal dividends barrier can be effectively estimated by Cramerlundberg asymptotic formula and discrete time modeL
classical risk model optimal dividends barrier mixtures of exponential asymptotic formula discrete time model
Ling Tang Huai Xu
Department of mathematics Anhui Institute of Architecture and Industry Hefei 230022 P.R.China School of mathematics Anhui University Hefei 230039 P.R.China
国际会议
西安
英文
1004-1008
2010-08-07（万方平台首次上网日期，不代表论文的发表时间）