COMPLETE MONOTONICITY OF THE PROBABILITY OF RUIN AND DE FINETTI'S DIVIDEND PROBLEM  

作　　者：Hua DONG Chuancun YIN 

机构地区：[1]School of Mathematical Sciences,Qufu Normal University [2]School of Mathematical Science and Computing Technology,Central South University

出　　处：《Journal of Systems Science & Complexity》2012年第1期178-185,共8页系统科学与复杂性学报（英文版）

基　　金：supported by the National Natural Science Foundation of China under Grant No.11171179;the Research Fund for the Doctoral Program of Higher Education of China under Grant No.20093705110002

摘　　要：This paper studies the complete monotonicity of the probability of ruin in the the classical risk model and the classical risk model that is perturbed by a diffusion. As a byproduct, the authors give an alternative proof to a result on the optimal dividend problem due to Loeffen （2008）.

关 键 词：Barrier strategy classical risk model complete monotonicity LOG-CONVEXITY optimaldividend problem perturbed classical risk model. 

分 类 号：O211.67[理学—概率论与数理统计]