Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy (Q601959)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy |
scientific article |
Statements
Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy (English)
0 references
29 October 2010
0 references
The paper studies the smoothness of certain functions in two kinds of risk models with a barrier dividend strategy. They prove that these functions are continuously differentiable in the first risk model. Using the weak infinitesimal generator method of Markov processes, they also prove that these functions are twice continuously differentiable in the second risk model and satisfy a certain integro-differential equation.
0 references
piecewise deterministic Markov process
0 references
weak infinitesimal generator
0 references
barrier strategy
0 references
