CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2011, 27(2) 210-223 DOI:      ISSN: 1001-4268 CN: 31-1256

Current Issue | Archive | Search                                                            [Print]   [Close]
article
Information and Service
This Article
Supporting info
PDF(231KB)
[HTML]
Reference
Service and feedback
Email this article to a colleague
Add to Bookshelf
Add to Citation Manager
Cite This Article
Email Alert
Keywords
Authors
PubMed

Dividend Payments in Jump-Diffusion Risk Model with Interest and Constant Dividend Barrier

Ding Fangqing,Yao Dingjun

Hefei University,Nanjing University of
Finance and Economics

Abstract��

This article considers the compound Poisson
insurance risk model perturbed by diffusion with investment and
constant dividend barrier. Integro-differential equations for the
high order moments of the discounted dividend payments prior to ruin
are derived. Closed form solutions are formulated when the
individual claim amount distribution is exponential. Some satisfying
results about the distribution of the aggregate dividend are
obtained, even for general claim size distributions. We also
investigate the number and the amount of the dividend streams. Both
the time of ruin and the deficit at ruin are considered in some
special cases. Confluent hypergeometric functions play a key role in
this paper.

Keywords��
Received  Revised  Online:  
DOI:
Fund:
Corresponding Authors: Ding Fangqing
Email:
About author:

References��
null
Similar articles

Copyright by CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST