Finite-time dividend problems in a Lévy risk model under periodic observation

作者：

Highlights：

• We consider the finite time dividend-ruin problems with constant inter-observation times.

• Recursive methods for computing the finite time expected discounted penalty function and the present value of dividend payments are proposed.

• Error analysis are made for our algorithm.

• Numerical results are provided to show effectiveness of our method.

摘要

•We consider the finite time dividend-ruin problems with constant inter-observation times.•Recursive methods for computing the finite time expected discounted penalty function and the present value of dividend payments are proposed.•Error analysis are made for our algorithm.•Numerical results are provided to show effectiveness of our method.

论文关键词：Lévy risk model,COS,Finite-time dividend payments,Finite-time expected discounted penalty function

论文评审过程：Received 29 September 2020, Revised 28 December 2020, Accepted 6 January 2021, Available online 28 January 2021, Version of Record 28 January 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.125981