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- 2015
带投资和周期分红的布朗运动模型中的分红问题
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Abstract:
摘要： 假设分红只发生在一些随机的观测时间且按照障碍策略进行分红,得到了破产前折现分红随机变量的矩母函数、n阶矩函数和破产时间Laplace变换满足的微分方程,也得到了期望破产前折现分红和破产时间Laplace变换的显式表达式。
Abstract: Assume that the dividends can only be paid at some randomized observation times and dividends were paid according to a barrier strategy, the differential equations for the moment-generating function, the n-th moment function and the Laplace transform of ruin time were derived. The explicit expressions for the expected discounted dividends until ruin and the Laplace transform of ruin time were also obtained
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