Acta mathematica scientia,Series A ›› 2010, Vol. 30 ›› Issue (1): 31-41.

• Articles • Previous Articles     Next Articles

On the Perturbed Compound Poisson Risk Model under Absolute Ruin with Debit Interest and a Constant Dividend Barrier

WANG Chun-Wei, YIN Chuan-Cun   

  1. 1.School of Mathematics and Statistics, Henan University of Science and Technology, Henan Luoyang 471003;
    2.School of Mathematical Sciences, Qufu Normal University, Shandong Qufu 273165
  • Received:2008-05-18 Revised:2009-06-19 Online:2010-01-01 Published:2010-01-01
  • Supported by:

    国家自然科学基金(10771119)、山东省自然科学基金(Y2004A06)和教育部科学技术研究重点项目(209091)资助

Abstract:

In this paper, we consider the perturbed compound Poisson risk model under absolute ruin  with debit interest and a constant dividend barrier.  Integro-differential equations satisfied by the expectation of discounted dividend payments, the moment generating function and the expected discounted penalty function (Gerber-Shiu function) with certain boundary conditions are obtained. For some special cases, explicit  expressions are obtained.

Key words: Absolute ruin, Brownian motion, Dividend payments, Debit interest, Expected discounted penalty function

CLC Number: 

  • 60J75
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