A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy

被引：12
|
作者：
Gao, Heli [1 ,2 ]
Yin, Chuancun [1 ]
机构：
[1] Qufu Normal Univ, Sch Math Sci, Qufu 273165, Peoples R China
[2] Binzhou Univ, Dept Math & Informat Sci, Binzhou 256603, Peoples R China
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2008年 / 205卷 / 01期
基金：
中国国家自然科学基金;
关键词：
Perturbed risk process; Geometric Brownian motion; Generalized Erlang(n)-distribution; Gerber-Shiu function; Discounted dividend payments;
D O I：
10.1016/j.amc.2008.08.029
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we consider a perturbed risk process (in which the inter-occurrence times are generalized Erlang(n)-distributed) compounded by a geometric Brownian motion. Integro-differential equations with certain boundary conditions for the moment-generating function and the mth moment of the present value of all dividends until ruin are derived. We also derive integro-differential equations with boundary conditions for the Gerber -Shiu function. Some special cases are considered in details. (C) 2008 Elsevier Inc. All rights reserved.
引用
收藏
页码：454 / 464
页数：11
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