The perturbed compound Poisson risk mode
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Donghai Liu; Zaiming Liu
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Article
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2011
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Elsevier Science
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English
β 227 KB
In this paper, we consider a diffusion perturbed classical compound Poisson risk model in the presence of a linear dividend barrier. Partial integro-differential equations for the moment generating function and the nth moment of the present value of all dividends until ruin are derived. Moreover, ex