کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076998 | 1374112 | 2011 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the threshold dividend strategy for a generalized jump-diffusion risk model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On the threshold dividend strategy for a generalized jump-diffusion risk model On the threshold dividend strategy for a generalized jump-diffusion risk model](/preview/png/5076998.png)
چکیده انگلیسی
In this paper, we generalize the Cramér-Lundberg risk model perturbed by diffusion to incorporate jumps due to surplus fluctuation and to relax the positive loading condition. Assuming that the surplus process has exponential upward and arbitrary downward jumps, we analyze the expected discounted penalty (EDP) function of Gerber and Shiu (1998) under the threshold dividend strategy. An integral equation for the EDP function is derived using the Wiener-Hopf factorization. As a result, an explicit analytical expression is obtained for the EDP function by solving the integral equation. Finally, phase-type downward jumps are considered and a matrix representation of the EDP function is presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 3, May 2011, Pages 326-337
Journal: Insurance: Mathematics and Economics - Volume 48, Issue 3, May 2011, Pages 326-337
نویسندگان
Yichun Chi, X. Sheldon Lin,