The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy
We consider the Ornstein-Uhlenbeck-type model. We first introduce the model and then find the ordinary differential equations and boundary conditions satisfied by the dividend functions; closed-form solutions for the dividend value functions are given. We also study the distribution of the time valu...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Wiley
2013-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2013/467948 |
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| _version_ | 1850172521726345216 |
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| author | Dan Zhu Chuancun Yin |
| author_facet | Dan Zhu Chuancun Yin |
| author_sort | Dan Zhu |
| collection | DOAJ |
| description | We consider the Ornstein-Uhlenbeck-type model. We first introduce the model and then find the ordinary differential equations and boundary conditions satisfied by the dividend functions; closed-form solutions for the dividend value functions are given. We also study the distribution of the time value of ruin. Furthermore, the moments and moment-generating functions of total discounted dividends until ruin are discussed. |
| format | Article |
| id | doaj-art-d0cdba476b9345e8a94fc084e7ca4ae1 |
| institution | OA Journals |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-d0cdba476b9345e8a94fc084e7ca4ae12025-08-20T02:20:03ZengWileyJournal of Applied Mathematics1110-757X1687-00422013-01-01201310.1155/2013/467948467948The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend StrategyDan Zhu0Chuancun Yin1School of Mathematical Sciences, Qufu Normal University, Shandong 273165, ChinaSchool of Mathematical Sciences, Qufu Normal University, Shandong 273165, ChinaWe consider the Ornstein-Uhlenbeck-type model. We first introduce the model and then find the ordinary differential equations and boundary conditions satisfied by the dividend functions; closed-form solutions for the dividend value functions are given. We also study the distribution of the time value of ruin. Furthermore, the moments and moment-generating functions of total discounted dividends until ruin are discussed.http://dx.doi.org/10.1155/2013/467948 |
| spellingShingle | Dan Zhu Chuancun Yin The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy Journal of Applied Mathematics |
| title | The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy |
| title_full | The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy |
| title_fullStr | The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy |
| title_full_unstemmed | The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy |
| title_short | The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy |
| title_sort | ornstein uhlenbeck type model with a hybrid dividend strategy |
| url | http://dx.doi.org/10.1155/2013/467948 |
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