A compound Poisson risk model with proportional investment

• Autores: Xu Chen, Hui Ou
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 242, Nº 1, 2013, págs. 248-260
• Idioma: inglés
• DOI: 10.1016/j.cam.2012.10.027
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• Resumen

  • This paper considers the compound Poisson risk model with a threshold dividend strategy and proportional investment. The goal here is to investigate the expected discounted dividend payments and the expected penalty�reward function. Integro-differential equations with certain boundary conditions are derived. As closed-form solutions do not exist, a numerical sinc method is proposed. Finally, some examples illustrating the procedure are presented.