International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Call for Papers | Fully Refereed | Open Access | Double Blind Peer Reviewed

ISSN: 2319-7064


Downloads: 113 | Views: 258

Research Paper | Mathematics | China | Volume 6 Issue 5, May 2017 | Popularity: 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



Make Sure to Disable the Pop-Up Blocker of Web Browser




Text copied to Clipboard!
Xitong Song, Yanan Wang, "Optimal Dividend Barrier in the Classical Risk Model Perturbed by Diffusion", International Journal of Science and Research (IJSR), Volume 6 Issue 5, May 2017, pp. 1703-1709, https://www.ijsr.net/getabstract.php?paperid=ART20173409, DOI: https://www.doi.org/10.21275/ART20173409