The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:233

Article

Gao, Shan^1,2  Liu, Zaiming¹ 

[1] Cent S Univ, Sch Math, Changsha 410075, Hunan, Peoples R China

[2] Fuyang Normal Coll, Dept Math, Fuyang 236032, Anhui, Peoples R China

关键词: Brownian motion;    Constant interest;    Threshold dividend strategy;    Discounted dividend payments;    Gerber-Shiu discounted penalty function;    Integro-differential equation;   

DOI  :  10.1016/j.cam.2009.10.004

来源: Elsevier

【 摘 要 】

In this paper, we consider the compound Poisson risk model perturbed by diffusion with constant interest and a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generation function and the nth moment of the present value of all dividends until ruin are derived. We also derive integro-differential equations with boundary conditions for the Gerber-Shiu functions. The special case that the claim size distribution is exponential is considered in some detail. (C) 2009 Elsevier B.V. All rights reserved.

【 授权许可】

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