Dividend-Reinsurance Strategy in the Sparre Andersen Model

被引：1

作者：

Ji Yang TAN ^{[1
,2
]}

Lin XIAO ^{[3
]}

Shao Yue LIU ^{[1
]}

Xiang Qun YANG ^{[3
]}

机构：

[1] Department of Statistics,Xiangtan University

[2] HPCSIP Key Laboratory,Ministry of Education

[3] Department of Mathematics,Hu'nan Normal

来源：

ActaMathematicaSinica | 2013年 / 29卷 / 02期

关键词：

D O I：

暂无

中图分类号：

F840 [保险理论]; O211.67 [期望与预测];

学科分类号：

摘要：

In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance strategy. It is shown that the value function of the new strategy far exceeds that of the optimal barrier strategy(even that of the optimal dividend strategy). Some results on the advantages of the new strategy are obtained, and the methods for computing the value functions are provided. Numerical illustrations for Erlang(2)and compound Poisson risk models are also given.

引用

页码：405 / 416

页数：12

共 8 条

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Shiu, Elias
[J]. NORTH AMERICAN ACTUARIAL JOURNAL, 2006, 10 (02) : 76 - 93
[4] On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang( n ) interclaim times[J] Insurance Mathematics and Economics 2005, 2
[5] On a class of renewal risk models with a constant dividend barrier
Li, SM
Garrido, J
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2004, 35 (03) : 691 - 701
[6] Some Optimal Dividends Problems[J] David C.M. Dickson;Howard R. Waters ASTIN Bulletin 2004,
[7] The Theory of Risk[J] Karl Borch Journal of the Royal Statistical Society. Series 1967, 3
[8] Introductory Functional Analysis with Applications Kreyszig;E; John Wiley&Sons 1998,

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