Paper Title:
Some Optimal Dividend Problems for a Surplus Process with Stochastic Interest
  Abstract

In this paper, some results on the dividend payments prior to ruin in the classical surplus process with stochastic interest are derived. An integro-differential equation with a boundary conditions satisfied by the expected present value of dividend payments is derived and solved. Furthermore, closed-form expressions for exponential claims are given.

  Info
Periodical
Advanced Materials Research (Volumes 108-111)
Edited by
Yanwen Wu
Pages
1097-1102
DOI
10.4028/www.scientific.net/AMR.108-111.1097
Citation
W. G. Yu, "Some Optimal Dividend Problems for a Surplus Process with Stochastic Interest", Advanced Materials Research, Vols. 108-111, pp. 1097-1102, 2010
Online since
May 2010
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