Paper Title:
Improvement to the Expected Discounted Penalty Function for a Classical Risk Model with a Threshold Dividend Strategy
  Abstract

In this paper, we study the expected discounted penalty function for a classical risk model in which a threshold dividend strategy is used for a classical risk model and the discount interest force process is not a constant, but a stochastic process driven by Poisson process and Wiener process. In this model, we derive and solve an integro-differential equation for the expected discounted penalty function.

  Info
Periodical
Edited by
Honghua Tan
Pages
1150-1155
DOI
10.4028/www.scientific.net/AMM.29-32.1150
Citation
W. G. Yu, Z. Liu, "Improvement to the Expected Discounted Penalty Function for a Classical Risk Model with a Threshold Dividend Strategy", Applied Mechanics and Materials, Vols. 29-32, pp. 1150-1155, 2010
Online since
August 2010
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