保费依赖于盈余的对偶模型的最优分红问题
On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums
摘要：
本文研究了保费依赖于盈余的对偶风险模型，即保险应用中的对偶风险模型。在这种模式中，保险费被视为成本，而索赔则指利润。我们计算的平均值的累计贴现股利支付，直到破产，如果障碍策略的应用。我们制定相关的哈密顿-雅可比-贝尔曼方程，并确定充分条件的障碍战略是最佳的。给出了利润服从指数规律时的数值例子。
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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