Optimal Dividend Barrier in the Classical Risk Model Perturbed by Diffusion
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
How to Cite?: Xitong Song, Yanan Wang, "Optimal Dividend Barrier in the Classical Risk Model Perturbed by Diffusion", Volume 6 Issue 5, May 2017, International Journal of Science and Research (IJSR), Pages: 1703-1709, https://www.ijsr.net/getabstract.php?paperid=ART20173409, DOI: https://dx.doi.org/10.21275/ART20173409