Closed-Form Absolute Ruin Problems of the Risk Models with State-Dependent Switched Claims  

作　　者：Yuanxun Liu Dianli Zhao 

机构地区：[1]College of Science, University of Shanghai for Science and Technology, Shanghai, China

出　　处：《Journal of Applied Mathematics and Physics》2017年第12期2326-2334,共9页应用数学与应用物理（英文）

摘　　要：This letter mainly investigates a general risk model with the threshold dividend strategy under assumption that the claim amounts obey a state-dependent switched exponential distribution. By establishing the differential-integral equations for the Gerber-Shiu discounted penalty function, and applying the hypergeometric functions, the closed-form absolute ruin probability is derived.This letter mainly investigates a general risk model with the threshold dividend strategy under assumption that the claim amounts obey a state-dependent switched exponential distribution. By establishing the differential-integral equations for the Gerber-Shiu discounted penalty function, and applying the hypergeometric functions, the closed-form absolute ruin probability is derived.

关 键 词：RUIN Probability Threshold DIVIDEND Strategy SWITCHED EXPONENTIAL Distribution HYPERGEOMETRIC Function 

分 类 号：O1[理学—数学]