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
收藏
页码：136 / 147
页数：12
相关论文
共 50 条
  • [21] Optimal dividend strategy in the compound poisson model with constant interest
    Fang, Ying
    Wu, Rong
    [J]. Stochastic Models, 2007, 23 (01): : 149 - 166
  • [22] Optimal dividend strategy in the compound poisson model with constant interest
    Fang, Ying
    Wu, Rong
    [J]. STOCHASTIC MODELS, 2007, 23 (01) : 149 - 166
  • [23] The compound Poisson risk model under a mixed dividend strategy
    Zhang, Zhimin
    Han, Xiao
    [J]. APPLIED MATHEMATICS AND COMPUTATION, 2017, 315 : 1 - 12
  • [24] Parisian ruin with a threshold dividend strategy under the dual Levy risk model
    Yang, Chen
    Sendova, Kristina P.
    Li, Zhong
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2020, 90 : 135 - 150
  • [25] Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
    Peng, Dan
    Liu, Donghai
    Hou, Zhenting
    [J]. ADVANCES IN DIFFERENCE EQUATIONS, 2016,
  • [26] The Compound Poisson Risk Model with Interest and a Threshold Strategy
    Yuan, Haili
    Hu, Yijun
    [J]. STOCHASTIC MODELS, 2009, 25 (02) : 197 - 220
  • [27] Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
    Dan Peng
    Donghai Liu
    Zhenting Hou
    [J]. Advances in Difference Equations, 2016
  • [28] Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching
    Wei, Jiaqin
    Yang, Hailiang
    Wang, Rongming
    [J]. STOCHASTIC ANALYSIS WITH FINANCIAL APPLICATIONS, HONG KONG 2009, 2011, 65 : 413 - 429
  • [29] Ruin theory for a Markov regime-switching model under a threshold dividend strategy
    Zhu, Jinxia
    Yang, Hailiang
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2008, 42 (01): : 311 - 318
  • [30] The perturbed compound Poisson risk model with multi-layer dividend strategy
    Yang, Hu
    Zhang, Zhimin
    [J]. STATISTICS & PROBABILITY LETTERS, 2009, 79 (01) : 70 - 78
12345