Improvement to the Expected Discounted Penalty Function for a Classical Risk Model with a Threshold Dividend Strategy
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.
W. G. Yu and 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