Some Optimal Dividend Problems for a Surplus Process with Stochastic Interest
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.
W. G. Yu "Some Optimal Dividend Problems for a Surplus Process with Stochastic Interest", Advanced Materials Research, Vols. 108-111, pp. 1097-1102, 2010