کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4639894 1341253 2011 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The perturbed compound Poisson risk model with linear dividend barrier
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
The perturbed compound Poisson risk model with linear dividend barrier
چکیده انگلیسی

In this paper, we consider a diffusion perturbed classical compound Poisson risk model in the presence of a linear dividend barrier. Partial integro-differential equations for the moment generating function and the nth moment of the present value of all dividends until ruin are derived. Moreover, explicit solutions for the nth moment of the present value of dividend payments are obtained when the individual claim size distribution is exponential. We also provided some numerical examples to illustrate the applications of the explicit solutions. Finally we derive partial integro-differential equations with boundary conditions for the Gerber–Shiu function.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 235, Issue 8, 15 February 2011, Pages 2357–2363
نویسندگان
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