Abstract
In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of the ruin time, and the Gerber-Shiu function are obtained via martingale stopping.
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Supported by the Natural Science Foundation of Jiangsu Province (BK20130260), the National Natural Science Foundation of China (11301369) and the Postdoctoral Science Foundation of China (2013M540371).
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Dong, Yh., Chen, Y. & Zhu, Hf. Hyper-exponential jump-diffusion model under the barrier dividend strategy. Appl. Math. J. Chin. Univ. 30, 17–26 (2015). https://doi.org/10.1007/s11766-015-3211-0
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DOI: https://doi.org/10.1007/s11766-015-3211-0