Dividend Problems in the Diffusion Model with Interest and Exponentially Distributed Observation Time

Cuilian Wang and Xiao Liu

Journal of Applied Mathematics, 2014, vol. 2014, 1-6

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 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.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:814835

DOI: 10.1155/2014/814835

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