Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy

被引：0
作者：
Wei Wang
Jing-min He
Rong Wu
机构：
[1] Nankai University,School of Mathematical Sciences and LPMC
[2] Tianjin University of Technology,College of Science
来源：
Acta Mathematicae Applicatae Sinica, English Series | 2010年 / 26卷
关键词：
Piecewise deterministic Markov process; weak infinitesimal generator; barrier strategy; 60J75; 91B30;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we study the smoothness of certain functions in two kinds of risk models with a barrier dividend strategy. Mainly using technique from the piecewise deterministic Markov processes theory, we prove that the function is continuously differentiable in the first risk model. Using the weak infinitesimal generator method of Markov processes, we prove that the function is twice continuously differentiable in the second risk model. Intego-differential equations satisfied by them are derived.
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页码：661 / 668
页数：7
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