CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY  

作　　者：周明 郭军义 

机构地区：[1]CIAS Central University of Finance and Economics [2]School of Mathematical Sciences and LPMC Nankai University

出　　处：《Acta Mathematica Scientia》2008年第2期355-362,共8页数学物理学报（B辑英文版）

基　　金：the National Natural Science Foundation of China(10571092);the major program of Key Research Institute of Humanities;Social Sciences at Universities(04JJD790006).

摘　　要：In this article, a threshold dividend strategy is used for classical risk model. Under this dividend strategy, certain probability of ruin, which occurs in case of constant barrier strategy, is avoided. Using the strong Markov property of the surplus process and the distribution of the deficit in classical risk model, the survival probability for this model is derived, which is more direct than that in Asmussen（2000, P195, Proposition 1.10）. The occupation time of non-dividend of this model is also discussed by means of Martingale method.In this article, a threshold dividend strategy is used for classical risk model. Under this dividend strategy, certain probability of ruin, which occurs in case of constant barrier strategy, is avoided. Using the strong Markov property of the surplus process and the distribution of the deficit in classical risk model, the survival probability for this model is derived, which is more direct than that in Asmussen（2000, P195, Proposition 1.10）. The occupation time of non-dividend of this model is also discussed by means of Martingale method.

关 键 词：Threshold dividend strategy RUIN occupation time piecewise deterministic Markov process 

分 类 号：O211[理学—概率论与数理统计]