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

Dan Zhu and Chuancun Yin

Journal of Applied Mathematics, 2013, vol. 2013, issue 1

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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https://doi.org/10.1155/2013/467948

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2013:y:2013:i:1:n:467948

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