Dividend Problems in the Diffusion Model with Interest and Exponentially Distributed Observation Time
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-6, 6 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-02-11
Country of Publication
Egypt
No. of Pages
6
Main Subjects
Abstract EN
Consider dividend problems in the diffusion model with interest and exponentially distributed observation time where dividends are paid according to a barrier strategy.
Assume that dividends can only be paid with a certain probability at each point of time; that is, on each observation, if the surplus exceeds the barrier level, the excess is paid as dividend.
In this paper, integrodifferential equations for the moment-generating function, the nth moment function, and the Laplace transform of ruin time are derived; explicit expressions for the expected discounted dividends paid until ruin and the Laplace transform of ruin time are also obtained.
American Psychological Association (APA)
Wang, Cuilian& Liu, Xiao. 2014. Dividend Problems in the Diffusion Model with Interest and Exponentially Distributed Observation Time. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-500244
Modern Language Association (MLA)
Wang, Cuilian& Liu, Xiao. Dividend Problems in the Diffusion Model with Interest and Exponentially Distributed Observation Time. Journal of Applied Mathematics No. 2014 (2014), pp.1-6.
https://search.emarefa.net/detail/BIM-500244
American Medical Association (AMA)
Wang, Cuilian& Liu, Xiao. Dividend Problems in the Diffusion Model with Interest and Exponentially Distributed Observation Time. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-6.
https://search.emarefa.net/detail/BIM-500244
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-500244