A compound Poisson risk model with proportional investment

DOI10.1016/j.cam.2012.10.027zbMath1282.91147OpenAlexW1966084500MaRDI QIDQ1932775

Hui Ou, Xu Chen

Publication date: 21 January 2013

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.10.027

zbMATH Keywords

integro-differential equationdiscounted dividend paymentsGerber-Shiu discounted penalty functionsinc numerical methods

Mathematics Subject Classification ID

Related Items (5)

A markov-modulated risk model with transaction costs and threshold dividend strategy ⋮ The perturbed compound Poisson risk model with proportional investment ⋮ A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy ⋮ The perturbed dual risk model with constant interest and a threshold dividend strategy ⋮ Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement

Uses Software

• Sinc-Pack

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