Dividend problems in the diffusion model with interest and exponentially distributed observation time
type: Item
instance of: scholarly article
title: Dividend problems in the diffusion model with interest and exponentially distributed observation time
zbMATH Open document ID: 1406.91208
DOI: 10.1155/2014/814835
author: Cuilian Wang
author: Xiao Liu
published in: Journal of Applied Mathematics
publication date: 2019-02-01T00:00:00Z
review text: Summary: 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 \(n\)th 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.
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 7010761
Wikidata QID: Q59052544
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/814835
OpenAlex ID: W2011870570
description: scientific article; zbMATH DE number 7010761