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The dividend function in the jump-diffusion dual model with barrier dividend strategy

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  • School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, P. R. China

Received date: 2007-10-30

  Revised date: 2008-07-31

  Online published: 2008-09-10

Abstract

A dual model of the perturbed classical compound Poisson risk model is considered under a constant dividend barrier. A new method is used in deriving the boundary condition of the equation for the expectation function by studying the local time of a related process. We obtain the expression for the expected discount dividend function in terms of those in the corresponding perturbed compound Poisson risk model without barriers. A special case in which the gain size is phase-type distributed is illustrated. We also consider the existence of the optimal dividend level.

Cite this article

LI Bo;WU Rong . The dividend function in the jump-diffusion dual model with barrier dividend strategy[J]. Applied Mathematics and Mechanics, 2008 , 29(9) : 1239 -1249 . DOI: 10.1007/s10483-008-0913-z

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