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
The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
β Scribed by Li, Shuanming
- Book ID
- 115462510
- Publisher
- Taylor and Francis Group
- Year
- 2006
- Tongue
- English
- Weight
- 158 KB
- Volume
- 2006
- Category
- Article
- ISSN
- 0346-1238
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## 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
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