Optimality of the threshold dividend strategy for the compound Poisson model
β Scribed by Chuancun Yin; Kam Chuen Yuen
- Book ID
- 116890299
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 218 KB
- Volume
- 81
- Category
- Article
- ISSN
- 0167-7152
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π SIMILAR VOLUMES
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