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CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY

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【Author】 Zhou Ming CIAS, Central University of Finance and Economics, Beijing 100081, China Guo Junyi School of Mathematical Sciences and LPMC, Nankai University, Tianjin 300071, China

【机构】 CIAS Central University of Finance and Economics； School of Mathematical Sciences and LPMC Nankai University Beijing 100081； China； Tianjin 300071；

【摘要】 <正>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.更多还原

【Abstract】 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.更多还原

【关键词】 Threshold dividend strategy； ruin； occupation time； piecewise deterministic Markov process；
【Key words】 Threshold dividend strategy； ruin； occupation time； piecewise deterministic Markov process；

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

【文献出处】 Acta Mathematica Scientia ,数学物理学报(英文版) , 编辑部邮箱 ,2008年02期

【分类号】O211
【被引频次】14
【下载频次】78

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