摘要
基于复合泊松风险模型,在红利边界策略下,讨论期望红利现值的近似计算问题.该文提出两种随机算子近似计算方法,并与扩散近似方法作数值计算对比.可发现,在索赔频率较小或样本量足够大的条件下,用随机算子方法求得的值函数和最优边界比扩散近似方法更加精确.
Based on the compound Poisson risk model,this paper discusses the approximate calculation of the expected dividend present value under a dividend barrier strategy.We propose two approximate calculation methods using random operators,and compare them with the diffusion approximation method.The results show that when the claim frequency is lower and the sample size is large enough,the value functions and the optimal barriers obtained by the random operator methods are more accurate than those obtained by the diffusion approximation method.
作者
徐港
王晨
谭激扬
XU Gang;WANG Chen;TAN Jiyang(School of Mathematics and Computational Science,Xiangtan University,Xiangtan 411105,China)
出处
《湘潭大学学报（自然科学版）》
CAS
2022年第5期1-9,共9页
Journal of Xiangtan University(Natural Science Edition)
基金
湖南省教育厅重点项目(20A485)
湖南省自然科学基金(2019JJ40278)。
关键词
复合泊松分布
随机算子
扩散近似
compound Poisson
stochastic operator method
diffusion approximation
