Hyper-exponential jump-diffusion model under the barrier dividend strategy

被引：0

作者：

Dong Ying-hui ^{[1
]}

Chen Yao ^{[1
]}

Zhu Hai-fei ^{[1
]}

机构：

[1] Suzhou Univ Sci & Technol, Dept Math & Phys, Suzhou 215009, Peoples R China

来源：

APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B | 2015年 / 30卷 / 01期

基金：

中国国家自然科学基金;

关键词：

reflected jump-diffusion process; barrier strategy; ruin time; Gerber-Shiu function; hyper-exponential distribution; RISK MODEL;

D O I：

10.1007/s11766-015-3211-0

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber-Shiu function are obtained via martingale stopping.

引用

页码：17 / 26

页数：10

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