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Optimal Dividend Barrier in the Classical Risk Model Perturbed by Diffusion

Journal: International Journal of Science and Research (IJSR) (Vol.6, No. 5)

Publication Date:

Authors : ; ;

Page : 1703-1709

Keywords : Compound Poisson process; Diffusion Process; Discounted dividend payments; Integro-differential equation;

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Abstract

In this paper we consider a diffusion perturbed classical compound Poisson risk model in the presence of a constant dividend barrier. An integro-differential equation with certain boundary conditions of the discounted dividend payments prior to ruin is derived and solved. We also consider few particular examples to offer optimal dividend barrier.

Last modified: 2021-06-30 18:55:25