On the Gerber-Shiu Function and Optimal Dividend Strategy for a Thinning Risk Model |
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Authors: | Zhao Jine Li Ming He Shuhong |
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Institution: | College of Mathematics, Honghe University; College of Mathematics and Statistics, Yunnan University |
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Abstract: | In this paper, the risk model under constant dividend
barrier strategy is studied, in which the premium income follows a compound
Poisson process and the arrival of the claims is a p-thinning process of the
premium arrival process. The integral equations with boundary conditions for
the expected discounted aggregate dividend payments and the expected discounted
penalty function until ruin are derived. In addition, the explicit expressions
for the Laplace transform of the ruin time and the expected aggregate discounted
dividend payments until ruin are given when the individual stochastic premium
amount and claim amount are exponentially distributed. Finally, the optimal
barrier is presented under the condition of maximizing the expectation of the
difference between discounted aggregate dividends until ruin and the deficit at ruin. |
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Keywords: | |
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