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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 [2] | Yanan Wang [2]
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
Similar Articles with Keyword 'Compound'
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Research Paper, Mathematics, India, Volume 11 Issue 8, August 2022
Pages: 790 - 793On Sanskruti Index of the Line Graphs of Certain Nanostructures
Dr. K Vijila Dafini | Dr. M Little Flower | Dr. X Lenin Xaviour
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Mini Chapters, Mathematics, India, Volume 12 Issue 12, December 2023
Pages: 646 - 647