标题:Spectrally negative Levy risk model under Erlangized barrier strategy
作者:Dong, Hua; Yin, Chuancun; Dai, Hongshuai
作者机构:[Dong, Hua; Yin, Chuancun] Qufu Normal Univ, Sch Stat, Jining 273165, Shandong, Peoples R China.; [Dai, Hongshuai] Shandong Univ Finance & Econ, Sch 更多
通讯作者:Dong, H
通讯作者地址:[Dong, H]Qufu Normal Univ, Sch Stat, Jining 273165, Shandong, Peoples R China.
来源:JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
出版年:2019
卷:351
页码:101-116
DOI:10.1016/j.cam.2018.11.001
关键词:spectrally negative Levy risk process; Randomized observation; Barrier; strategy; Scale function
摘要:In this paper, we consider a spectrally negative Levy risk process with periodic barrier dividend strategy. We assume that the inter-dividend-decision times follow generalized Erlang distribution. Using fluctuation identities and scale functions, we obtain the joint Laplace transform of the total amount of dividends, the total number of dividends and the time to ruin, and the joint Laplace transform of the last dividend time and the total amount of dividends, respectively. (C) 2018 Elsevier B.V. All rights reserved.
收录类别:SCIE;SSCI
WOS核心被引频次:1
资源类型:期刊论文
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