The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-12-26
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract 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.
American Psychological Association (APA)
Zhu, Dan& Yin, Chuancun. 2013. The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-473859
Modern Language Association (MLA)
Zhu, Dan& Yin, Chuancun. The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy. Journal of Applied Mathematics No. 2013 (2013), pp.1-7.
https://search.emarefa.net/detail/BIM-473859
American Medical Association (AMA)
Zhu, Dan& Yin, Chuancun. The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-473859
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-473859
