The Ornstein-Uhlenbeck-type model with a hybrid dividend strategy (Q1789925)
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scientific article; zbMATH DE number 6950690
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Ornstein-Uhlenbeck-type model with a hybrid dividend strategy |
scientific article; zbMATH DE number 6950690 |
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The Ornstein-Uhlenbeck-type model with a hybrid dividend strategy (English)
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10 October 2018
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Summary: 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.
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