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1. A kind of dividend problem for the classical risk process perturbed by diffusion | |||
Lv Yuhua ,Wu Rong | |||
Mathematics 02 May 2006 | |||
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Abstract:In this paper, we consider the classical risk process perturbed by diffusion. The analysis is focused on the aggregate dividends and the Laplace transforms of ruin time. We showed that both the expected discounted dividends and the Laplace transforms of ruin time under a barrier strategy satisfy some integro-differential equation, and give the closed form expression of them, extending the results of Gerber and Shiu (2006). | |||
TO cite this article:Lv Yuhua ,Wu Rong. A kind of dividend problem for the classical risk process perturbed by diffusion[OL].[ 2 May 2006] http://en.paper.edu.cn/en_releasepaper/content/6489 |
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