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The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy
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نویسنده
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zhu d. ,yin c.
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منبع
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journal of applied mathematics - 2013 - دوره : 2013 - شماره : 0
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چکیده
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We consider the ornstein-uhlenbeck-type model. we first introduce the model and then find the ordinary differential equations and boundary conditions satisfied by the dividend functions; closed-form solutions for the dividend value functions are given. we also study the distribution of the time value of ruin. furthermore,the moments and moment-generating functions of total discounted dividends until ruin are discussed. © 2013 dan zhu and chuancun yin.
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آدرس
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school of mathematical sciences,qufu normal university, China, school of mathematical sciences,qufu normal university, China
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Authors
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