Hyper-exponential jump-diffusion model under the barrier dividend strategy 被引量：1

Hyper-exponential jump-diffusion model under the barrier dividend strategy

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摘要 In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber- Shiu function are obtained via martingale stopping. In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber- Shiu function are obtained via martingale stopping.

作者 DONG Ying-hui CHEN Yao ZHU Hai-fei

机构地区 Department of Mathematics and Physics

出处《Applied Mathematics(A Journal of Chinese Universities)》 SCIE CSCD 2015年第1期17-26,共10页 高校应用数学学报（英文版）（B辑）

基金 Supported by the Natural Science Foundation of Jiangsu Province(BK20130260) the National Natural Science Foundation of China(11301369) the Postdoctoral Science Foundation of China(2013M540371)

关键词 reflected jump-diffusion process barrier strategy ruin time Gerber-Shiu function hyper-exponential distribution. reflected jump-diffusion process, barrier strategy, ruin time, Gerber-Shiu function, hyper-exponential distribution.

分类号 F840.3 [经济管理—保险]

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参考文献12

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Applied Mathematics(A Journal of Chinese Universities)

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Hyper-exponential jump-diffusion model under the barrier dividend strategy 被引量：1

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