On the dual risk model with diffusion under a mixed dividend strategy

Abstract

Inspired by the work of Zhang and Han (2017), this paper investigates a dual model with diffusion where dividends are paid under a mixed strategy. This strategy is composed of two parts: dividends will be paid continuously at a fixed rate α > 0 as long as the surplus process is above a fixed threshold level b > 0; for a pre-specified sequence of strictly increasing periodic dividend decision times {Zj}j ≥ 1, whenever the surplus level observed at Zj is above b, the excess value will also be paid out as dividend. In addition, ruin is declared when the observed surplus equals to 0 for the first time. The integro-differential equations satisfied by the expected present value of dividends paid u..