Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4639320 | Journal of Computational and Applied Mathematics | 2013 | 13 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Xu Chen, Hui Ou,