کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4633812 | 1340679 | 2008 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy](/preview/png/4633812.png)
چکیده انگلیسی
In this paper, we consider a perturbed risk process (in which the inter-occurrence times are generalized Erlang(n)-distributed) compounded by a geometric Brownian motion. Integro-differential equations with certain boundary conditions for the moment-generating function and the mth moment of the present value of all dividends until ruin are derived. We also derive integro-differential equations with boundary conditions for the Gerber-Shiu function. Some special cases are considered in details.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 205, Issue 1, 1 November 2008, Pages 454-464
Journal: Applied Mathematics and Computation - Volume 205, Issue 1, 1 November 2008, Pages 454-464
نویسندگان
Heli Gao, Chuancun Yin,