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The Perturbed Dual Risk Model with Constant Interest and a Threshold Dividend Strategy

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  • Fanzi Zeng
  • Jisheng Xu

Abstract

We consider the perturbed dual risk model with constant interest and a threshold dividend strategy. Firstly, we investigate the moment-generation function of the present value of total dividends until ruin. Integrodifferential equations with certain boundary conditions are derived for the present value of total dividends. Furthermore, using techniques of sinc numerical methods, we obtain the approximation results to the expected present value of total dividends. Finally, numerical examples are presented to show the impact of interest on the expected present value of total dividends and the absolute ruin probability.

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  • Fanzi Zeng & Jisheng Xu, 2013. "The Perturbed Dual Risk Model with Constant Interest and a Threshold Dividend Strategy," Abstract and Applied Analysis, Hindawi, vol. 2013, pages 1-9, November.
    • Handle: RePEc:hin:jnlaaa:981076
    DOI: 10.1155/2013/981076
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    Cited by:

    1. Sooie-Hoe Loke & Enrique Thomann, 2018. "Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments," Risks, MDPI, vol. 6(4), pages 1-13, October.

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