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

页码：454 / 464

页数：11

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