摘要
在完全离散的复合二项风险模型基础上,考虑常红利边界策略下的红利支付问题.通过两种不同的方法,得到了红利期望现值所满足的两个方程.由这些方程特殊性质,在比较宽松的条件下,通过建立相应的迭代过程,求解出了直到破产发生时红利期望现值的近似值.
Based on the fully discrete compound binomial model, the payments of dividends in the pres ence of constant dividend barrier were studied. We obtained two equations satisfying the expected present value of dividends through two different methods. Under a comparative relaxed condition, the approximate solution of the expected present value of dividends until ruin can be computed by setting up the corresponding iteration processes because of the special property of the equations.
出处
《经济数学》
北大核心
2010年第3期41-46,共6页
Journal of Quantitative Economics
基金
国家自然科学基金资助项目(10871064)
湖南省教育厅科研资助项目(08C833)
湖南省科技厅科研项目(2009FJ3141)
关键词
复合二项过程
常红利边界
红利期望现值
压缩映射
迭代
compound binomial process
constant dividend barrier
the expected present value of divi teration
