Dividend Function in the Jump-Diffusion Dual Model With Barrier Dividend Strategy

LI Bo; WU Rong

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Article Navigation > Applied Mathematics and Mechanics > 2008 > 29(9): 1124-1134

LI Bo, WU Rong. Dividend Function in the Jump-Diffusion Dual Model With Barrier Dividend Strategy[J]. Applied Mathematics and Mechanics, 2008, 29(9): 1124-1134.

Citation:

LI Bo, WU Rong. Dividend Function in the Jump-Diffusion Dual Model With Barrier Dividend Strategy[J]. Applied Mathematics and Mechanics, 2008, 29(9): 1124-1134.

Citation:

LI Bo, WU Rong. Dividend Function in the Jump-Diffusion Dual Model With Barrier Dividend Strategy[J]. Applied Mathematics and Mechanics, 2008, 29(9): 1124-1134.

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Dividend Function in the Jump-Diffusion Dual Model With Barrier Dividend Strategy

LI Bo,
WU Rong

School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, P. R. China

Received Date: 2007-10-27
Rev Recd Date: 2008-08-01
Publish Date: 2008-09-15

Abstract

Abstract

A dual model of the perturbed classical compound Poisson risk model under a constant dividend barrier was considered. A new method is used in deriving the boundary condition of the equation satisfied by that expectation function, by using the local time of a related process. The expression for the expected discounted dividend function was obtained in terms of those in the corresponding perturbed compound Poisson risk model without barrier. The special cases where the gain size is phasetype distributed is illustrated in the last section. Also the existence of the optimal dividend level was considered.
- compound Poisson process,
- diffusion process,
- Gerber-Shiu function,
- integro-differential equation,
- time of ruin,
- surplus before ruin,
- deficit at ruin

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References(20)

References

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