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Research Paper | Mathematics | China | Volume 6 Issue 5, May 2017 | Rating: 6.1 / 10
Optimal Dividend Barrier in the Classical Risk Model Perturbed by Diffusion
Xitong Song, Yanan Wang
Abstract: In this paper we consider a diffusion perturbed classical compound Poisson risk model in the presence of a constant dividend barrier. An integro-differential equation with certain boundary conditions of the discounted dividend payments prior to ruin is derived and solved. We also consider few particular examples to offer optimal dividend barrier.
Keywords: Compound Poisson process, Diffusion Process, Discounted dividend payments, Integro-differential equation
Edition: Volume 6 Issue 5, May 2017,
Pages: 1703 - 1709