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On the renewal risk model under a threshold strategy

โœ Scribed by Yinghui Dong; Guojing Wang; Kam C. Yuen

Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
702 KB
Volume
230
Category
Article
ISSN
0377-0427

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โœฆ Synopsis

risk process Threshold strategy a b s t r a c t

In this paper, we consider the renewal risk process under a threshold dividend payment strategy. For this model, the expected discounted dividend payments and the Gerber-Shiu expected discounted penalty function are investigated. Integral equations, integrodifferential equations and some closed form expressions for them are derived. When the claims are exponentially distributed, it is verified that the expected penalty of the deficit at ruin is proportional to the ruin probability.

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