节点文献
The dividend function in the jump-diffusion dual model with barrier dividend strategy
【摘要】 A dual model of the perturbed classical compound Poisson risk model is considered under a constant dividend barrier. A new method is used in deriving the boundary condition of the equation for the expectation function by studying the local time of a related process. We obtain the expression for the expected discount dividend function in terms of those in the corresponding perturbed compound Poisson risk model without barriers. A special case in which the gain size is phase-type distributed is illustrated. We also consider the existence of the optimal dividend level.
【Abstract】 A dual model of the perturbed classical compound Poisson risk model is considered under a constant dividend barrier. A new method is used in deriving the boundary condition of the equation for the expectation function by studying the local time of a related process. We obtain the expression for the expected discount dividend function in terms of those in the corresponding perturbed compound Poisson risk model without barriers. A special case in which the gain size is phase-type distributed is illustrated. We also consider the existence of the optimal dividend level.
【Key words】 compound Poisson process； diffusion process； Gerber-Shiu function； integro- differential equation； time of ruin； surplus before ruin； deficit at ruin；
- 【文献出处】 Applied Mathematics and Mechanics(English Edition) ,应用数学和力学(英文版) , 编辑部邮箱 ,2008年09期
- 【分类号】O211.6
- 【被引频次】11
- 【下载频次】50