Absolute ruin in the compound Poisson risk model with constant dividend barrier

被引：15

作者：

Yuan, Haili ^{[1
]}

Hu, Yijun ^{[1
]}

机构：

[1] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Hubei, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 14期

基金：

中国国家自然科学基金;

关键词：

D O I：

10.1016/j.spl.2008.01.076

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We investigate the absolute ruin in the compound Poisson risk model with nonnegative interest and a constant dividend barrier. An integro-differential equation satisfied by the absolute ruin probability, the distribution and moments of deficit at the time to absolute ruin is derived. In the case of exponential individual claim, the explicit expressions are given. Finally, by a "renewal" argument, which is different from the martingale approach, an integro-differential equation satisfied by the conditional probability of recovery is derived, based oh which the probability of recovery is formulated. In the case of exponential individual claim, the explicit expression for the probability of recovery is also given. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2086 / 2094

页数：9

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