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

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D O I：

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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

页数：12

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