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Dividend Payments in a Perturbed Compound Poisson Model with Stochastic Investment and Debit Interest

  • Y. H. LuEmail author
  • Y. F. Li
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We consider a compound Poisson insurance risk model perturbed by diffusion with stochastic return on investment and debit interest. If the initial surplus is nonnegative, then the insurance company can invest this surplus in a risky asset and risk-free asset based on a fixed proportion. Otherwise, if the surplus is negative, then the insurance company can get the business loan. The integrodifferential equations for the function generating moments of the values of cumulative dividends are obtained for the barrier and threshold dividend strategies, respectively. The expected dividend value is obtained in the closed form in the case where the claim amount is exponentially distributed.

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© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.School of Statistics, Qufu Normal UniversityShandongChina

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