The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy

Dan Zhu and Chuancun Yin

Journal of Applied Mathematics, 2013, vol. 2013, 1-7

Abstract:

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.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:467948

DOI: 10.1155/2013/467948

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