Article ID Journal Published Year Pages File Type
4639320 Journal of Computational and Applied Mathematics 2013 13 Pages PDF
Abstract

This paper considers the compound Poisson risk model with a threshold dividend strategy and proportional investment. The goal here is to investigate the expected discounted dividend payments and the expected penalty–reward function. Integro-differential equations with certain boundary conditions are derived. As closed-form solutions do not exist, a numerical sinc method is proposed. Finally, some examples illustrating the procedure are presented.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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