A compound Poisson risk model with proportional investment

被引：13
|
作者：
Chen, Xu [1 ]
Ou, Hui [1 ]
机构：
[1] Hunan Normal Univ, Key Lab High Performance Comp & Stochast Informat, Coll Math & Comp Sci, Minist Educ China, Changsha 410081, Hunan, Peoples R China
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2013年 / 242卷
关键词：
Discounted dividend payments; Gerber-Shiu discounted penalty function; Integro-differential equation; Sinc numerical methods; DISCOUNTED PENALTY; INSURANCE COMPANY; STOCHASTIC RETURN; RUIN; DIVIDEND; DIFFUSION;
D O I：
10.1016/j.cam.2012.10.027
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper considers the compound Poisson risk model with a threshold dividend strategy and proportional investment. The goal here is to investigate the expected discounted dividend payments and the expected penalty-reward function. Integro-differential equations with certain boundary conditions are derived. As closed-form solutions do not exist, a numerical sinc method is proposed. Finally, some examples illustrating the procedure are presented. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：248 / 260
页数：13
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