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

被引：0
作者：
Ying-hui Dong
Yao Chen
Hai-fei Zhu
机构：
[1] Suzhou University of Science and Technology,Department of Mathematics and Physics
来源：
Applied Mathematics-A Journal of Chinese Universities | 2015年 / 30卷
关键词：
reflected jump-diffusion process; barrier strategy; ruin time; Gerber-Shiu function; hyperexponential distribution; 91B30; 60J75; 60H10;
D O I：
暂无
中图分类号：
学科分类号：
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
收藏
页码：17 / 26
页数：9
相关论文
共 24 条
[1]  
Bo L J(2012)Lévy risk model with two-sided jumps and a barrier dividend strategy Insurance Math Econom 50 280-291
[2]  
Song R M(2011)Option pricing under a mixed-exponential jump diffusion model Manage Sci 57 2067-2081
[3]  
Tang D(1957)Su unimpostazione alternativa dell teoria collettiva del rischio Transactions of the XVth International Congress of Actuaries 2 433-443
[4]  
Wang Y J(1998)On the discounted penalty at ruin in a jump-diffusion and the perpetual put option Insurance Math Econom 22 263-276
[5]  
Yang X W(1998)On the time value of ruin N Am Actuar J 2 48-72
[6]  
Cai N(2003)First passage times of a jump diffusion process Adv in Appl Probab 35 427-445
[7]  
Kou S G(2011)The Gerber-Shiu function and the generalized Cramér-Lundberg model Appl Math Comput 218 3035-3056
[8]  
De Finetti B(2004)On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum J Theoret Probab 17 183-220
[9]  
Gerber H U(2011)On optimality of the barrier strategy for a general Lévy risk process Math Comput Modelling 53 1700-1707
[10]  
Landry B(2010)The perturbed compound Poisson risk model with two-sided jumps J Comput Appl Math 233 1773-1784
123