复合泊松模型带投资和借贷的最优分红问题
Optimal Dividend Problem for the Compound Poisson Model with Investment Incomes and Debit Interest
摘要:
本文研究了复合泊松模型带投资和借贷的最优分红问题。当余额低于绝对破产限时，公司破产。我们的目的是最大化破产前的累积期望折现分红，我们运用测度值生成元理论得出了动态规划方程。
Abstract:
In this paper, we consider the optimal dividend problem for the compound Poisson Model with Investment Incomes and Debit Interest. Ruin occurs when the reserve drops below the critical value. Our objective is to maximize the expected total discount dividends until ruin. We derive the associated measure-valued dynamic programming equation (DPE) by using the measure-valued generator theory.
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