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Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
《Frontiers of Mathematics in China》2014年第5期1073-1088,共16页Yuhua LU Rong WU 
Acknowledgements This work was supported by the National Natural Science Foundation of China （Grant No. 11171179）.
We consider a dividends model with a stochastic jump perturbed by diffusion. First, we prove that the expected discounted dividends function is twice continuously differentiable under the condition that the claim dist...
关键词：Expected discounted dividends ruin time integro-differentialequation Laplace transform barrier strategy 
Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information被引量：2
《Frontiers of Mathematics in China》2014年第4期965-982,共18页Jie XIONG Shuaiqi ZHANG Hui ZHAO Xihuan ZENG 
Acknowledgements This work was supported in part by FDCT 076/2012/A3, SRG022- FST12-XJ, the Natural Science Foundation of Hebei Province （Grant No. A2014202202）, and the National Natural Science Foundation of China （Grant No. 11301376）.
We study optimal investment and proportional reinsurance strategy in the presence of inside information. The risk process is assumed to follow a compound Poisson process perturbed by a standard Brownian motion. The in...
关键词：Inside information INVESTMENT REINSURANCE jump diffusion 
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