On the threshold dividend strategy for a generalized jump-diffusion risk model
AbstractIn this paper, we generalize the Cramér-Lundberg risk model perturbed by diffusion to incorporate jumps due to surplus fluctuation and to relax the positive loading condition. Assuming that the surplus process has exponential upward and arbitrary downward jumps, we analyze the expected discounted penalty (EDP) function of Gerber and Shiu (1998) under the threshold dividend strategy. An integral equation for the EDP function is derived using the Wiener-Hopf factorization. As a result, an explicit analytical expression is obtained for the EDP function by solving the integral equation. Finally, phase-type downward jumps are considered and a matrix representation of the EDP function is presented.
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 48 (2011)
Issue (Month): 3 (May)
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Web page: http://www.elsevier.com/locate/inca/505554
Jump-diffusion risk model Expected discounted penalty function Threshold dividend strategy Wiener-Hopf factorization;
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