Absolute Ruin Problems for the Risk Processes with Interest and a Constant Dividend Barrier  

作　　者：YUAN Haili HU Yijun QIN Qianqing 

机构地区：[1]School of Mathematics and Statistics, Wuhan University, Wuhan 430072, Hubei, China [2]State Key Laboratory of Surveying, Mapping and Remote Wuhan 430072, Hubei, China Information Engineering in Sensing, Wuhan University,

出　　处：《Wuhan University Journal of Natural Sciences》2011年第3期199-205,共7页武汉大学学报（自然科学英文版）

基　　金：Supported by the National Natural Science Foundation of China (10971157);the Fundamental Research Funds for the Central Universities

摘　　要：In this paper, the absolute ruin in the compound Poisson risk model with interest and a constant dividend barrier is investigated. First, integro-differential equations satisfied by the expected discounted dividend payments are derived. The explicit expressions are obtained when the individual claim size is exponential distributed. Second, the moment generating function of the discounted dividends is considered, and integro-differential equations satisfied by the moment generating function of the discounted dividends are derived. Third, by a ＂differential＂ argument, the time to recovery to zero from a given negative surplus is considered. Finally, how long it takes for the surplus process to reach the dividend barrier is discussed.In this paper, the absolute ruin in the compound Poisson risk model with interest and a constant dividend barrier is investigated. First, integro-differential equations satisfied by the expected discounted dividend payments are derived. The explicit expressions are obtained when the individual claim size is exponential distributed. Second, the moment generating function of the discounted dividends is considered, and integro-differential equations satisfied by the moment generating function of the discounted dividends are derived. Third, by a ＂differential＂ argument, the time to recovery to zero from a given negative surplus is considered. Finally, how long it takes for the surplus process to reach the dividend barrier is discussed.

关 键 词：compound Poisson risk model INTEREST constant dividend barrier dividend payment DURATION 

分 类 号：O211.9[理学—概率论与数理统计]