The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy

الملخص EN

We consider the Ornstein-Uhlenbeck-type model.

We first introduce the model and then find the ordinary differential equations and boundary conditions satisfied by the dividend functions; closed-form solutions for the dividend value functions are given.

We also study the distribution of the time value of ruin.

Furthermore, the moments and moment-generating functions of total discounted dividends until ruin are discussed.