Journal of Applied Mathematics

Dividend Problems in the Diffusion Model with Interest and Exponentially Distributed Observation Time

Cuilian Wang and Xiao Liu

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Abstract

Consider dividend problems in the diffusion model with interest and exponentially distributed observation time where dividends are paid according to a barrier strategy. Assume that dividends can only be paid with a certain probability at each point of time; that is, on each observation, if the surplus exceeds the barrier level, the excess is paid as dividend. In this paper, integrodifferential equations for the moment-generating function, the nth moment function, and the Laplace transform of ruin time are derived; explicit expressions for the expected discounted dividends paid until ruin and the Laplace transform of ruin time are also obtained.

Article information

Source
J. Appl. Math., Volume 2014 (2014), Article ID 814835, 6 pages.

Dates
First available in Project Euclid: 2 March 2015

Permanent link to this document
https://projecteuclid.org/euclid.jam/1425305523

Digital Object Identifier
doi:10.1155/2014/814835

Mathematical Reviews number (MathSciNet)
MR3170450

Zentralblatt MATH identifier
07010761

Citation

Wang, Cuilian; Liu, Xiao. Dividend Problems in the Diffusion Model with Interest and Exponentially Distributed Observation Time. J. Appl. Math. 2014 (2014), Article ID 814835, 6 pages. doi:10.1155/2014/814835. https://projecteuclid.org/euclid.jam/1425305523


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References

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