Name
Title | ||
|---|---|---|
Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement. |
Abstract | ||
|---|---|---|
This paper considers the Cramér–Lundberg risk model for two companies with capital-exchange agreement, threshold dividend strategies and randomized observation periods. A integro-partial differential system of equations that characterizes the expected discounted dividend payments is obtained. As closed-form solutions do not exist, a numerical Sinc-Collocation method is proposed. Finally, an example illustrating the procedure is presented. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.cam.2019.112426 | Journal of Computational and Applied Mathematics |
Keywords | Field | DocType |
Discounted dividend payments,Integro-partial differential equation system,Capital-exchange agreement,Randomized observation periods,Numerical sinc method | Econometrics,Mathematical optimization,Differential systems,Dividend,Payment,Mathematics,Risk model | Journal |
Volume | ISSN | Citations |
366 | 0377-0427 | 0 |
PageRank | References | Authors |
0.34 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| YongGe Liu | 1 | 0 | 0.34 |
| Xu Chen | 2 | 59 | 22.55 |
| Wenyan Zhuo | 3 | 0 | 1.01 |