英文标题：
《On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent
Premiums》
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作者：
Ewa Marciniak and Zbigniew Palmowski
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最新提交年份：
2016
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英文摘要：
This paper concerns the dual risk model, dual to the risk model for insurance applications, where premiums are surplus-dependent. In such a model premiums are regarded as costs, while claims refer to profits. We calculate the mean of the cumulative discounted dividends paid until ruin, if the barrier strategy is applied. We formulate associated Hamilton-Jacobi-Bellman equation and identify sufficient conditions for a barrier strategy to be optimal. Some numerical examples are provided when profits have exponential law.
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中文摘要：
本文研究的是双重风险模型，双重风险模型适用于保费依赖于盈余的保险应用。在这种模型中，保费被视为成本，而索赔则指利润。如果采用障碍策略，我们计算破产前支付的累计贴现股息的平均值。我们建立了相关的Hamilton-Jacobi-Bellman方程，并确定了屏障策略最优的充分条件。给出了利润服从指数规律时的一些数值例子。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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