The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy

[摘要] 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.

[学科分类] 应用数学