Dividend problems in the dual model with diffusion and exponentially distributed observation time

Xiao Liu and Zhenlong Chen

Statistics & Probability Letters, 2014, vol. 87, issue C, 175-183

Abstract: Consider dividend problems in the dual model with diffusion 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, the excess is paid as dividend. In this paper, integro-differential equations for the expected discounted sum of dividends paid until ruin and the Laplace transform of ruin time are derived. When the gains are exponentially distributed, explicit expressions for the ruin probability, the expected discounted sum of dividends paid until ruin, the Laplace transform of ruin time and the expectation of ruin time are also obtained.

Keywords: Dividend; Ruin; Barrier strategy (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.01.017

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