Economics - Research Publications

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Author: Li, Shuanming × Subject: Compound Poisson process ×

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    The Diffusion Perturbed Compound Poisson RiskModel with a Dividend Barrier
    LI, SHUANMING ; Wu, Biao ( 2006-02)
    We consider a diffusion perturbed classical compound Poisson risk modelin the presence of a constant dividend barrier. Integro-differential equationswith certain boundary conditions for the expected discounted penalty(Gerber-Shiu) functions (caused by oscillations or by a claim) are derivedand solved. Their solutions can be expressed in terms of the Gerber-Shiufunctions in the corresponding perturbed risk model without a barrier. Finally,explicit results are given when the claim sizes are rationally distributed.