带约束复合泊松模型的最优分红策略
Optimal Dividend Strategy with Constrained Compound Poisson Model
摘要:
本文研究了在有界分红速率下的关于带有常数利率的复合泊松风险模型的最优分红问题，且在有限分红速率的约束下，旨在将破产之前最大化收到的预期累积折现分红，并给出分红策略的相关特征。最后根据测度值生成元理论，本文确定了相关联的测量值动态规划方程(DPE)，并进一步分析出测度值DPE与拟变分不等式之间的关系。
Abstract:
In this paper, we study the optimal dividend problem for a compound Poisson risk model with constant interest rate under bounded dividend rate. We aim to maximize the expected cumulative discounted dividends before bankruptcy by using bounded dividend rate. And the relevant char-acteristics of the dividend strategy are given. Finally, based on the measure-valued generator the-ory, this paper deduces the associated measure-valued dynamic programming equation (DPE), and further analyzes the relationship between the measure-valued DPE and the quasi-variational inequality.
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