Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy |
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| Authors: | Wei Wang Jing-min He Rong Wu |
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| Institution: | 1. School of Mathematical Sciences and LPMC, Nankai University, Tianjin, 300071, China
2. College of Science, Tianjin University of Technology, Tianjin, 300191, China
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| Abstract: | In this paper, we study the smoothness of certain functions in two kinds of risk models with a barrier dividend strategy.
Mainly using technique from the piecewise deterministic Markov processes theory, we prove that the function is continuously
differentiable in the first risk model. Using the weak infinitesimal generator method of Markov processes, we prove that the
function is twice continuously differentiable in the second risk model. Intego-differential equations satisfied by them are
derived. |
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| Keywords: | Piecewise deterministic Markov process weak infinitesimal generator barrier strategy |
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