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
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;
Conference_Titel :
Information Engineering and Computer Science (ICIECS), 2010 2nd International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-7939-9
Electronic_ISBN :
2156-7379
DOI :
10.1109/ICIECS.2010.5678204
