Hyper-exponential jump-diffusion model under the barrier dividend strategy

被引：0
|
作者：
Dong Ying-hui [1 ]
Chen Yao [1 ]
Zhu Hai-fei [1 ]
机构：
[1] Suzhou Univ Sci & Technol, Dept Math & Phys, Suzhou 215009, Peoples R China
来源：
APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B | 2015年 / 30卷 / 01期
基金：
中国国家自然科学基金;
关键词：
reflected jump-diffusion process; barrier strategy; ruin time; Gerber-Shiu function; hyper-exponential distribution; RISK MODEL;
D O I：
10.1007/s11766-015-3211-0
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber-Shiu function are obtained via martingale stopping.
引用
收藏
页码：17 / 26
页数：10
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