Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
UDC 519.21 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 its surplus in a risky asset and risk-free asset based on a fixed proportion....
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| Date: | 2019 |
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| Main Authors: | , , , |
| Format: | Article |
| Language: | English |
| Published: |
Institute of Mathematics, NAS of Ukraine
2019
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/1462 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
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