Absolute ruin in the compound Poisson risk model with constant dividend barrier

作者：Yuan Haili^*; Hu Yijun

来源：Statistics & Probability Letters, 2008, 78(14): 2086-2094.

DOI：10.1016/j.spl.2008.01.076

We investigate the absolute ruin in the compound Poisson risk model with nonnegative interest and a constant dividend barrier. An integro-differential equation satisfied by the absolute ruin probability, the distribution and moments of deficit at the time to absolute ruin is derived. In the case of exponential individual claim, the explicit expressions are given. Finally, by a "renewal" argument, which is different from the martingale approach, an integro-differential equation satisfied by the conditional probability of recovery is derived, based oh which the probability of recovery is formulated. In the case of exponential individual claim, the explicit expression for the probability of recovery is also given.

• 出版日期2008-10-1
• 单位武汉大学