Open Access
Translator Disclaimer
2014 Dividend Problems in the Diffusion Model with Interest and Exponentially Distributed Observation Time
Cuilian Wang, Xiao Liu
J. Appl. Math. 2014: 1-6 (2014). DOI: 10.1155/2014/814835

Abstract

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.

Citation

Download Citation

Cuilian Wang. Xiao Liu. "Dividend Problems in the Diffusion Model with Interest and Exponentially Distributed Observation Time." J. Appl. Math. 2014 1 - 6, 2014. https://doi.org/10.1155/2014/814835

Information

Published: 2014
First available in Project Euclid: 2 March 2015

zbMATH: 07010761
MathSciNet: MR3170450
Digital Object Identifier: 10.1155/2014/814835

Rights: Copyright © 2014 Hindawi

JOURNAL ARTICLE
6 PAGES


SHARE
Vol.2014 • 2014
Back to Top