International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Open Access | Fully Refereed | Peer Reviewed

ISSN: 2319-7064


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Research Paper | Mathematics | China | Volume 6 Issue 5, May 2017


Optimal Dividend Barrier in the Classical Risk Model Perturbed by Diffusion

Xitong Song, Yanan Wang


Abstract: In this paper we consider a diffusion perturbed classical compound Poisson risk model in the presence of a constant dividend barrier. An integro-differential equation with certain boundary conditions of the discounted dividend payments prior to ruin is derived and solved. We also consider few particular examples to offer optimal dividend barrier.


Keywords: Compound Poisson process, Diffusion Process, Discounted dividend payments, Integro-differential equation


Edition: Volume 6 Issue 5, May 2017,


Pages: 1703 - 1709


How to Cite this Article?

Xitong Song, Yanan Wang, "Optimal Dividend Barrier in the Classical Risk Model Perturbed by Diffusion", International Journal of Science and Research (IJSR), https://www.ijsr.net/get_abstract.php?paper_id=ART20173409, Volume 6 Issue 5, May 2017, 1703 - 1709

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