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The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy
oleh: Dan Zhu, Chuancun Yin
Format: | Article |
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Diterbitkan: | Wiley 2013-01-01 |
Deskripsi
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.