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

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  • Dan Zhu
  • Chuancun Yin

Abstract

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.

Suggested Citation

  • Dan Zhu & Chuancun Yin, 2013. "The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy," Journal of Applied Mathematics, Hindawi, vol. 2013, pages 1-7, December.
    • Handle: RePEc:hin:jnljam:467948
    DOI: 10.1155/2013/467948
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