带投资和周期分红的布朗运动模型中的分红问题

On a periodic dividend problems in the Brownian motion model with investment

假设分红只发生在一些随机的观测时间且按照障碍策略进行分红,得到了破产前折现分红随机变量的矩母函数、n阶矩函数和破产时间Laplace变换满足的微分方程,也得到了期望破产前折现分红和破产时间Laplace变换的显式表达式。

Assume that the dividends can only be paid at some randomized observation times and dividends were paid according to a barrier strategy,the differential equations for the moment-generating function,the n-th moment function and the Laplace transform of ruin time were derived.The explicit expressions for the expected discounted dividends until ruin and the Laplace transform of ruin time were also obtained.