Dividend Problems in the Diffusion Model with Interest and Exponentially Distributed Observation Time. (11th February 2014)

• Record Type: Journal Article
• Authors: Wang, Cuilian; Liu, Xiao
• Other Names: Dong Bo-Qing Academic Editor.
• Is Part Of: Journal of applied mathematics. Volume 2014(2014)
• Publication Date: 2014-02-11
• Subjects: Mathematics -- Periodicals; 519.05
• DOI: 10.1155/2014/814835
• Languages: English
• ISSNs: 1110-757X

Abstract

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 n th 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.