Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy

DOI10.1007/s11464-013-0313-yzbMath1321.60167OpenAlexW1526741062MaRDI QIDQ2258090

Rong Wu, Yuhua Lü

Publication date: 2 March 2015

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-013-0313-y

zbMATH Keywords

Laplace transformintegro-differential equationruin timebarrier strategyjump-diffusion risk processexpected discounted dividends

Mathematics Subject Classification ID

Related Items (3)

Strong convergence in the \(p\)th-mean of an averaging principle for two-time-scales SPDEs with jumps ⋮ Stochastic averaging principles for multi-valued stochastic differential equations driven by poisson point Processes ⋮ Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest

Cites Work

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• A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
• The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
• Ruin theory with stochastic return on investments
• Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
• Optimal Dividends

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