Year: 2025
Type: article
Abstract: This paper proposes a dual risk model with liquid reserve and proportional investments, this model is more suitable for real life. We derive the integral differential equations for the expected total discounted dividends before ruin. Since the exact solution of the equations does not exist, we obtain the approximate solution expression and further deduce the upper limit of the error caused by the approximate method for some special cases. In particular, we analyze the effect of the correlation volume on the expected total discounted dividend through two examples. Then, we also provide a special case to test the superiority of the sinc method, the results show that the sinc method is superior in solving approximate solutions. This study can help companies avoid potential liquidity risks, financial risks, and ensure the robust operation of the company.
Source: Journal of Mathematics
DOI: 10.1155/jom/8846855
Authors: Chunwei Wang, Shujing Wang
Institution: Henan University of Science and Technology
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $2,160
Award: 动能、势能交织的重大舆情灰色GERTS网络演化推理研究
OpenAlex ID: W4409519860