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The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy

✍ Scribed by Shan Gao; Zaiming Liu

Publisher: Elsevier Science
Year: 2010
Tongue: English
Weight: 555 KB
Volume: 233
Category: Article
ISSN: 0377-0427
DOI: 10.1016/j.cam.2009.10.004

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✦ Synopsis

Shiu discounted penalty function Integro-differential equation a b s t r a c t

In this paper, we consider the compound Poisson risk model perturbed by diffusion with constant interest and a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generation function and the nth moment of the present value of all dividends until ruin are derived. We also derive integro-differential equations with boundary conditions for the Gerber-Shiu functions. The special case that the claim size distribution is exponential is considered in some detail.

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