The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier

DOI10.1016/J.INSMATHECO.2006.03.002MaRDI QIDQ865615zbMATHOpenAlexFDO

Authors Kam Chuen Yuen, Guojing Wang, Wai Keung Li

Publication date 19 February 2007

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2006.03.002

zbMATH Keywords

compound Poissonintegro-differential equationbarrier strategytime of ruinexpected discounted penalty functionstochastic return on investments

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Integro-ordinary differential equations (45J05)

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