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: 2017-05-05
Authors : Xitong Song; Yanan Wang;
Page : 1703-1709
Keywords : Compound Poisson process; Diffusion Process; Discounted dividend payments; Integro-differential equation;
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.
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