A compound Poisson risk model with proportional investment

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摘要

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.

论文关键词:Discounted dividend payments,Gerber–Shiu discounted penalty function,Integro-differential equation,Sinc numerical methods

论文评审过程:Received 10 July 2012, Revised 21 October 2012, Available online 1 November 2012.

论文官网地址:https://doi.org/10.1016/j.cam.2012.10.027