Dividend Problems with a Barrier Strategy in the Dual Risk Model until Bankruptcy
The paper studies the dual risk model with a barrier strategy under the concept of bankruptcy, in which one has a positive probability to continue business despite temporary negative surplus. Integrodifferential equations for the expectation of the discounted dividend payments and the probability of...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/184098 |
| Summary: | The paper studies the dual risk model with a barrier strategy under the concept of
bankruptcy, in which one has a positive probability to continue business despite temporary
negative surplus. Integrodifferential equations for the expectation of the discounted
dividend payments and the probability of bankruptcy are derived. Moreover, when
the gain size distribution is exponential, explicit solutions for the expected dividend
payments and the bankruptcy probability are obtained for constant bankruptcy rate
function. It also provided some numerical examples to illustrate the applications of the
explicit solutions. |
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| ISSN: | 1110-757X 1687-0042 |