On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy

被引：28

作者：

Li, Shuanming ^{[1
]}

Lu, Yi ^{[2
]}

机构：

[1] Univ Melbourne, Ctr Actuarial Studies, Dept Econ, Melbourne, Vic 3010, Australia

[2] Simon Fraser Univ, Dept Stat & Actuarial Sci, Burnaby, BC V5A 1S6, Canada

来源：

SCANDINAVIAN ACTUARIAL JOURNAL | 2010年 / 02期

关键词：

Compound Poisson risk process; Threshold dividend strategy; Time of ruin; Maximum surplus before ruin; Maximum severity of ruin; SURPLUS;

D O I：

10.1080/03461230902850162

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We study the distribution and moments of the maximum severity of ruin in the compound Poisson risk process with a threshold dividend strategy. The distribution can be analyzed through the probability that the surplus process attains a given level from the initial surplus without first falling below zero. This note extends the results in Picard (1994) and shows that the distribution of the maximum severity of ruin can be expressed explicitly in terms of the ruin probabilities of two classical risk models with different premium rates. The moments of the maximum severity of ruin can be obtained through its distribution function.

引用

页码：136 / 147

页数：12

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