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Article: The compound Poisson process perturbed by a diffusion with a threshold dividend strategy

TitleThe compound Poisson process perturbed by a diffusion with a threshold dividend strategy
Authors
KeywordsCompound Poisson
Dividends
Integro-Differential Equation
Laplace Transform
Threshold Strategy
Time of Ruin
Issue Date2009
PublisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www.interscience.wiley.com/jpages/1524-1904/
Citation
Applied Stochastic Models in Business and Industry, 2009, v. 25 n. 1, p. 73-93 How to Cite?
AbstractIn this paper, we consider the compound Poisson process perturbed by a diffusion in the presence of the so-called threshold dividend strategy. Within this framework, we prove the twice continuous differentiability of the expected discounted value of all dividends until ruin. We also derive integro-differential equations for the expected discounted value of all dividends until ruin and obtain explicit expressions for the solution to the equations. Along the same line, we establish explicit expressions for the Laplace transform of the time of rain and the Laplace transform of the aggregate dividends until ruin. In the case of exponential claims, some examples are provided. Copyright © 2008 John Wiley & Sons, Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/172456
ISSN
2015 Impact Factor: 0.574
2015 SCImago Journal Rankings: 0.613
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorYuen, KCen_US
dc.contributor.authorLu, Yen_US
dc.contributor.authorWu, Ren_US
dc.date.accessioned2012-10-30T06:22:37Z-
dc.date.available2012-10-30T06:22:37Z-
dc.date.issued2009en_US
dc.identifier.citationApplied Stochastic Models in Business and Industry, 2009, v. 25 n. 1, p. 73-93en_US
dc.identifier.issn1524-1904en_US
dc.identifier.urihttp://hdl.handle.net/10722/172456-
dc.description.abstractIn this paper, we consider the compound Poisson process perturbed by a diffusion in the presence of the so-called threshold dividend strategy. Within this framework, we prove the twice continuous differentiability of the expected discounted value of all dividends until ruin. We also derive integro-differential equations for the expected discounted value of all dividends until ruin and obtain explicit expressions for the solution to the equations. Along the same line, we establish explicit expressions for the Laplace transform of the time of rain and the Laplace transform of the aggregate dividends until ruin. In the case of exponential claims, some examples are provided. Copyright © 2008 John Wiley & Sons, Ltd.en_US
dc.languageengen_US
dc.publisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www.interscience.wiley.com/jpages/1524-1904/en_US
dc.relation.ispartofApplied Stochastic Models in Business and Industryen_US
dc.rightsApplied Stochastic Models in Business and Industry. Copyright © John Wiley & Sons Ltd.-
dc.subjectCompound Poissonen_US
dc.subjectDividendsen_US
dc.subjectIntegro-Differential Equationen_US
dc.subjectLaplace Transformen_US
dc.subjectThreshold Strategyen_US
dc.subjectTime of Ruinen_US
dc.titleThe compound Poisson process perturbed by a diffusion with a threshold dividend strategyen_US
dc.typeArticleen_US
dc.identifier.emailYuen, KC: kcyuen@hku.hken_US
dc.identifier.authorityYuen, KC=rp00836en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1002/asmb.734en_US
dc.identifier.scopuseid_2-s2.0-59849109520en_US
dc.identifier.hkuros154503-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-59849109520&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume25en_US
dc.identifier.issue1en_US
dc.identifier.spage73en_US
dc.identifier.epage93en_US
dc.identifier.isiWOS:000263887600006-
dc.publisher.placeUnited Kingdomen_US
dc.identifier.scopusauthoridYuen, KC=7202333703en_US
dc.identifier.scopusauthoridLu, Y=23089150000en_US
dc.identifier.scopusauthoridWu, R=35591104900en_US

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