On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy
β Scribed by Li, Shuanming; Lu, Yi
- Book ID
- 127129546
- Publisher
- Taylor and Francis Group
- Year
- 2010
- Tongue
- English
- Weight
- 154 KB
- Volume
- 2010
- Category
- Article
- ISSN
- 0346-1238
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Shiu discounted penalty function Integro-differential equation a b s t r a c t 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-g
## Abstract In this paper, we consider the compound Poisson process perturbed by a diffusion in the presence of the soβcalled threshold dividend strategy. Within this framework, we prove the twice continuous differentiability of the expected discounted value of all dividends until ruin. We also der