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

页码：248 / 260

页数：13

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