Articles

CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY

  • Zhou Ming ,
  • Guo Junyi
Expand
  • CIAS, Central University of Finance and Economics, Beijing 100081, China

Received date: 2005-11-28

  Revised date: 2006-08-16

  Online published: 2008-04-20

Abstract

In this article, a threshold dividend strategy is used for classical risk model. Under this dividend strategy, certain probability of ruin, which occurs in case of constant barrier strategy, is avoided. Using the strong Markov property of the surplus process and the distribution of the deficit in classical risk model, the survival probability for this model is derived, which is more direct than that in Asmussen (2000, P195, Proposition 1.10). The occupation time of non-dividend of this model is also discussed by means of Martingale method.

Cite this article

Zhou Ming , Guo Junyi . CLASSICAL RISK MODEL WITH THRESHOLD DIVIDEND STRATEGY[J]. Acta mathematica scientia, Series B, 2008 , 28(2) : 355 -362 . DOI: 10.1016/S0252-9602(08)60037-5

Outlines

/