Numerical Solution for the Dividend Value Function of a Dual Risk Model With Investment

Chunwei Wang and Shujing Wang

Journal of Mathematics, 2025, vol. 2025, 1-14

Abstract: This paper proposes a dual risk model with liquid reserve and proportional investments, this model is more suitable for real life. We derive the integral differential equations for the expected total discounted dividends before ruin. Since the exact solution of the equations does not exist, we obtain the approximate solution expression and further deduce the upper limit of the error caused by the approximate method for some special cases. In particular, we analyze the effect of the correlation volume on the expected total discounted dividend through two examples. Then, we also provide a special case to test the superiority of the sinc method, the results show that the sinc method is superior in solving approximate solutions. This study can help companies avoid potential liquidity risks, financial risks, and ensure the robust operation of the company.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/jmath/2025/8846855.pdf (application/pdf)
http://downloads.hindawi.com/journals/jmath/2025/8846855.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jjmath:8846855

DOI: 10.1155/jom/8846855

Access Statistics for this article

More articles in Journal of Mathematics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().