The dividend function in the jump-diffusion dual model withbarrier dividend strategy  

作　　者：李波 吴荣 

机构地区：[1]School of Mathematical Sciences and LPMC,Nankai University

出　　处：《Applied Mathematics and Mechanics(English Edition)》2008年第9期1239-1249,共11页应用数学和力学（英文版）

基　　金：the National Basic Research Program of China (973 Program)(No.2007CB814905);the National Natural Science Foundation of China (No.10571092);the Research Fund of the Doctorial Program of Higher Education

摘　　要：A dual model of the perturbed classical compound Poisson risk model is considered under a constant dividend barrier. A new method is used in deriving the boundary condition of the equation for the expectation function by studying the local time of a related process. We obtain the expression for the expected discount dividend function in terms of those in the corresponding perturbed compound Poisson risk model without barriers. A special case in which the gain size is phase-type distributed is illustrated. We also consider the existence of the optimal dividend level.A dual model of the perturbed classical compound Poisson risk model is considered under a constant dividend barrier. A new method is used in deriving the boundary condition of the equation for the expectation function by studying the local time of a related process. We obtain the expression for the expected discount dividend function in terms of those in the corresponding perturbed compound Poisson risk model without barriers. A special case in which the gain size is phase-type distributed is illustrated. We also consider the existence of the optimal dividend level.

关 键 词：compound Poisson process diffusion process Gerber-Shiu function integro-differential equation time of ruin surplus before ruin deficit at ruin 

分 类 号：O211.6[理学—概率论与数理统计]