考慮稅收的保險(xiǎn)帶壁分紅問題研究.pdf

1、中南大學(xué)碩士學(xué)位論文考慮稅收的保險(xiǎn)帶壁分紅問題研究姓名：段宏博申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計(jì)指導(dǎo)教師：劉再明20091101碩士學(xué)位論文AbstractAbstractItiswellknownthatProbabilitytheoryandstatisticsisoneofthemaintheoriesandtoolsforthestudvofinsurancerisktheoryWearetryingtostudysome

2、questionsconcernedwiththeinsuranceriskthroughthepointofprobabilityandthestatisticsTIlisthesiscontainsfourparts：(I)Introductioninthispartweconsiderthemainquestionsstudyinthisthesis；(II)inthecasethatthetaxofthedividendpaym

3、entaletakenintoconsideration，weconsidertheexpecteddividendpaymentinthediscretetimecase；(III)inthispart，wewillcontinuousthestudyinpart(II)butinthispartwillmainlyconsidertheutilityaftertheintroductionoftheconceptofutilitya

4、ndseveraldifferentutilityfunctions；(IV)inthispart，firstinchapter4，wewillconsiderthedammodelandinsomecasesthetimewhenthestorageofdamrevelacertainlevelInchapter5wewillconsidersomequestionsconcemedwiththedividendinthecontin

5、uouscase，suchas，howmanytimesthedividendpaymentstreamsoccurbeforeruinBesidesthatwealsoconsideredtheexpecteddiscounteddividendpaymentinonedividendpaymentstreamandsoonChapter1：IntroductionItmainlyconsiderseveralsections：the

6、discretetimeriskmodelinthispartwewillmainlygivethedefinitionofthediscretetimeriskmodelandthecurrentsituationofthestudyinthisarea：thequestionoftheexpectedutilityinthissectionwewillmainlygivethedefinitionoftheexpectedutili

7、tyandtheroletheyplayedinthestudyoftheinsurancerisk；thedividendpaymentproblem，includingthebarrierstrategyandthehistoryofthedevelopmentofthedividendproblem；inpart1wealsoconsideraspecialstoragemodelcalleddammodelsomeusefuln

8、otationsandillustrationalegivenChapter2：weconsidertheconstantbarrierdividendproblemforoneclassofdiscretetimeriskmodelBytheintroductionofthetaxwewillconsidertheproblemofthedividendpaymentunderdifferentwaysofcollectingtaxe

9、sTheresearchofthediscretetimeriskmodelhasimportantsensetothereallireInthehistorymanyauthorsandexpertshaveconsideredthiskindofmodelForexample，Buhlmann(1970)，Gerber(1972)，Gerber(1979)，Gerber(1988)，Michel(1989，Shiu(1989)，Li

10、(2002)，DicksonandWaters(1991)，DicksonandWaters(2004，Section5)andDickson(2004)andsoonInspiredbyBuhlmann(1970)andClaramunteta1(2003)，wewillconsiderthetimeriskmodelinthecaseexpecteddividendpaymentthatthedividendaleaskedtopa

11、ytaxesChapter3：wediscussthequestionofutilityTheutilitytheoryisoneoftheimportanteconomictheoriesTheutilityfunctionisoneoftheimportantusefultoolsinthestudyofthemathematicseconomicsmodelWrewillmainlyconsiderthecasetIlatthed

12、ividendpaymentisaskedtopaytaxesinthediscretetimeriskmodelmodifiedbyaconstantdividendpaymentInchapter4，wewillconsidersomequestionsbehindthedividendproblemIncludinghowmanytimesthedividendpaymentstreamsoccurbeforeruinandetc