论文标题
具有相类型的分布式Interlaim时间的更新风险模型中的股息障碍策略
Dividend Barrier Strategies in a Renewal Risk Model With Phase-Type Distributed Interclaim Times
论文作者
论文摘要
在本文中，我们考虑了具有相类型的分布式Interlaim时间和指数分布的索赔规模的更新风险模型的最佳股息问题。假设可以观察到Interlaim时间的阶段。我们分别研究2-订单和$ n $ - 订单（$ n \ ge 3 $）下的最佳股息。如果是2-订单相型分布式互截图时间，我们表明最佳股息策略是最佳的阶段障碍策略。作为副产品，我们发现在这种情况下，具有较高障碍的阶段是下一个主张强度较高的阶段。对于N级（$ n \ ge3 $）相型分布式Interlaim时间，提出了一种迭代算法，以表明最佳阶段障碍策略在所有股息策略中都是最佳的。我们还发现类似的结论，例如2阶 - 屏障最高的阶段是下一个主张强度最高的阶段。
In this paper, we consider the optimal dividend problem of the renewal risk model with phase-type distributed interclaim times and exponentially distributed claim sizes. Assume that the phases of the interclaim times can be observed. We study the optimal dividend under the 2--order and the $n$--order ($n\ge 3$)separately. In the case of 2--order phase-type distributed interclaim times, we show that the optimal dividend policy is the optimal phase-wise barrier strategy. As a byproduct, we find that in this case, the phase with higher barrier is the phase with the higher intensity to the next claim. In the case of n-order ($n\ge3$) phase-type distributed interclaim times, an iteration algorithm is presented to show that the optimal phase-wise barrier strategy is optimal among all dividend policies. We also find a similar conclusion like in the case of 2--order, the phase with the highest barrier is the phase with the highest intensity to the next claim.
