Abstract
We consider the basic dividend problem of the compound Poisson model with constant barrier strategy. Some results concealed behind the dividend problem are made explicit in the present work. Different methods and some of which are firstly given in this paper. All these results presented certain direct relationship between some important actuary variables in classical risk theory is also revealed.
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Supported by the National Natural Science Foundation of China (No. 70501028, No. 10571092).
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Zhou, M., Wei, L. & Guo, Jy. Some Results behind Dividend Problems. Acta Math. Appl. Sin, Engl. Ser. 22, 681–686 (2006). https://doi.org/10.1007/s10255-006-0342-3
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DOI: https://doi.org/10.1007/s10255-006-0342-3
Keywords
- Compound Poisson process
- discount dividend payments
- integro-differential equation
- change of measure
- shift operator