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Hua Dong

Work place: School of Mathematical Sciences Central South University Changsha, China

E-mail: sddh1978@126.com

Website:

Research Interests: Computational Mathematics, Mathematical Analysis, Mathematics

Biography

Hua Dong a Ph.D candidate from Central South University. Her research interests include risk theory and mathematical finance.

Author Articles
On a Class of Dual Risk Model with Dependence based on the FGM Copula

By Hua Dong Zaiming Liu

DOI: https://doi.org/10.5815/ijieeb.2010.02.07, Pub. Date: 8 Dec. 2010

In this paper, we consider an extension to a dual model under a barrier strategy, in which the innovation sizes depend on the innovation time via the FGM copula. We first derive a renewal equation for the expected total discounted dividends until ruin. Some differential equations and closed-form expressions are given for exponential innovation sizes. Then the optimal dividend barrier and the Laplace transform of the time to ruin are considered. Finally, a numerical example is given.

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