The perturbed dual risk model with constant interest and a threshold dividend strategy. (English) Zbl 1470.91254

Zeng, Fanzi; Xu, Jisheng

Abstr. Appl. Anal. 2013, Article ID 981076, 9 p. (2013).

Summary: We consider the perturbed dual risk model with constant interest and a threshold dividend strategy. Firstly, we investigate the moment-generation function of the present value of total dividends until ruin. Integrodifferential equations with certain boundary conditions are derived for the present value of total dividends. Furthermore, using techniques of sinc numerical methods, we obtain the approximation results to the expected present value of total dividends. Finally, numerical examples are presented to show the impact of interest on the expected present value of total dividends and the absolute ruin probability.

MSC:

91G10	Portfolio theory
45K05	Integro-partial differential equations
60K10	Applications of renewal theory (reliability, demand theory, etc.)

Software:

Sinc-Pack

References:

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