DocumentCode
1897770
Title
Dividends in a Dual Risk Model with Dependence
Author
Dong, Hua ; Liu, Zaiming
Author_Institution
Sch. of Math. Sci., Central South Univ., Changsha, China
fYear
2010
fDate
25-26 Dec. 2010
Firstpage
1
Lastpage
4
Abstract
In this paper, we consider an extension to the dual model under a barrier strategy, in which the innovation sizes depend on the innovation time via the FGM copula. We derive a renewal equation for the expected total discounted dividends until ruin. Some differential equations and closed form expressions are given for exponential innovation sizes. Finally, a numerical example is given.
Keywords
differential equations; finance; innovation management; risk management; FGM copula; barrier strategy; closed form expressions; differential equations; dual risk model; expected total discounted dividends; exponential innovation sizes; innovation time; renewal equation; Biological system modeling; Differential equations; Economics; Equations; Laplace equations; Mathematical model; Technological innovation;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Engineering and Computer Science (ICIECS), 2010 2nd International Conference on
Conference_Location
Wuhan
ISSN
2156-7379
Print_ISBN
978-1-4244-7939-9
Electronic_ISBN
2156-7379
Type
conf
DOI
10.1109/ICIECS.2010.5678204
Filename
5678204
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