Dividend problems in the diffusion model with interest and exponentially distributed observation time

DOI10.1155/2014/814835MaRDI QIDQ1714774zbMATH OpenOpenAlexWikidataFDO

Authors Cuilian Wang, Xiao Liu

Publication date 1 February 2019

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2014/814835

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Review text

Summary: Consider dividend problems in the diffusion model with interest and exponentially distributed observation time where dividends are paid according to a barrier strategy. Assume that dividends can only be paid with a certain probability at each point of time; that is, on each observation, if the surplus exceeds the barrier level, the excess is paid as dividend. In this paper, integrodifferential equations for the moment-generating function, the \(n\)th moment function, and the Laplace transform of ruin time are derived; explicit expressions for the expected discounted dividends paid until ruin and the Laplace transform of ruin time are also obtained.

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Cited in

(11)

• The dividend problem with a finite horizon
• Dividend problems in the dual risk model with exponentially distributed observation time
• The exit time and the dividend value function for one-dimensional diffusion processes
• Dividend problems in the dual model with diffusion and exponentially distributed observation time
• The optimal dividend barrier in the perturbed compound Poisson risk model with randomized observation time
• On a periodic dividend problem in Brownian motion models with investment
• scientific article; zbMATH DE number 5631012 (Why is no real title available?)
• Dividend payments in the dual model with Erlang (n) distributed observation times
• Barrier dividend problem in a diffusion risk model with Erlang (2) distributed observation time
• Dividend problems for finite time interval in the classical risk model
• Time-inconsistent view on a dividend problem with penalty

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