|
|||||
|
|
Some optimal dividend problems for a surplus process with interest |
|
| Authors: | YANG Hu and GENG Wen-ting |
| Institution: | College of Mathematics and Physics,Chongqing University,Chongqing 400030,P.R.China |
| Abstract: | We derive some results on the dividend payments prior to ruin in the classical surplus process with interest. An integro-differential equation with a boundary conditions satisfied by the expected present value of dividend payments is derived and solved. Furthermore, we derive an integro-differential equation for the moment generating function, through which we analyze the higher moment of the present value of dividend payments. Finally, closed-form expressions for exponential claims are given. |
| Keywords: | dividend problem compound Poisson dividend barrier integro-differential present value of dividend payments |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |
| 点击此处可从《重庆大学学报(英文版)》浏览原始摘要信息 | |
| 点击此处可从《重庆大学学报(英文版)》下载免费的PDF全文 | |