Optimal Dividends in A Risk Model with Dependence between Claim Sizes and Claim Intervals

摘要：

In this paper, we investigate the optimal dividends in a classical surplus process with a dependence structure between the claim sizes and the interarrival times. We first obtain an integro-differential equation satisfied by the discounted dividend payments. Then we derive the explicit expression of the discounted dividend payments for exponential claims. Furthermore, we discuss the optimal dividend barrier when the claim sizes have a common exponential distribution. Finally, we give the numerical examples for exponential claims.

关键词： optimal dividends dependence barrier strategies

作者: Zaiming Liu Hua Dong

作者单位: School of Mathematical Sciences Central South University Changsha, China

会议类型: 国际会议

会议名称: The 2010 International Conference on Computer Application and System Modeling(2010计算机应用与系统建模国际会议 ICCASM 2010)

会议地点: 太原

会议语种:英文

页码: 130-132

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）