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...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/184098 |
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| _version_ | 1832549362715066368 |
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| author | Donghai Liu Zaiming Liu |
| author_facet | Donghai Liu Zaiming Liu |
| author_sort | Donghai Liu |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-280c2f2ade8a45f49e606556931a175f |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-280c2f2ade8a45f49e606556931a175f2025-02-03T06:11:25ZengWileyJournal of Applied Mathematics1110-757X1687-00422014-01-01201410.1155/2014/184098184098Dividend Problems with a Barrier Strategy in the Dual Risk Model until BankruptcyDonghai Liu0Zaiming Liu1Department of Mathematics, Hunan University of Science and Technology, Xiangtan, Hunan 411201, ChinaDepartment of Mathematics and Statistics, Central South University, Changsha, Hunan 410075, ChinaThe 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.http://dx.doi.org/10.1155/2014/184098 |
| spellingShingle | Donghai Liu Zaiming Liu Dividend Problems with a Barrier Strategy in the Dual Risk Model until Bankruptcy Journal of Applied Mathematics |
| title | Dividend Problems with a Barrier Strategy in the Dual Risk Model until Bankruptcy |
| title_full | Dividend Problems with a Barrier Strategy in the Dual Risk Model until Bankruptcy |
| title_fullStr | Dividend Problems with a Barrier Strategy in the Dual Risk Model until Bankruptcy |
| title_full_unstemmed | Dividend Problems with a Barrier Strategy in the Dual Risk Model until Bankruptcy |
| title_short | Dividend Problems with a Barrier Strategy in the Dual Risk Model until Bankruptcy |
| title_sort | dividend problems with a barrier strategy in the dual risk model until bankruptcy |
| url | http://dx.doi.org/10.1155/2014/184098 |
| work_keys_str_mv | AT donghailiu dividendproblemswithabarrierstrategyinthedualriskmodeluntilbankruptcy AT zaimingliu dividendproblemswithabarrierstrategyinthedualriskmodeluntilbankruptcy |