Some optimal dividend problems for a surplus process with interest
We derive some results on the dividend payments prior to ruin in the classical surplus process with interest.An integro-differential equation with a boundary conditions satisfied by the expected present value of dividend payments is derived and solved.Furthermore,we derive an integro-differential equation for the moment generating function,through which we analyze the higher moment of the present value of dividend payments.Finally,closed-form expressions for exponential claims are given.
In this paper, we study the Dirichlet problem for a singular Monge-Ampere type equation on unbounded domains. For a few special kinds of unbounded convex domains,we find the explicit formulas of the solutions to the problem. For general unbounded convex domain $\Om$, we prove the existence for solutions to the problem in the space$C^{\infty}(\Om)\cap~C~(\overline{\Om})$. We also obtain the local $C^{\frac{1}{2}}$-estimate up to the $\partial~\Omega$ and the estimate for the lower bound of the solutions.