In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certai...In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certain boundary conditions for the present value of dividends until ruin. When the claims from both classes are exponentially distributed, we show that the threshold dividend strategy is an optimal dividend strategy.展开更多
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 stro...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.展开更多
基金Supported by the Natural Science Foundation of Jiangxi Province (2008GQS0035)the Foundation of Zhejiang Provincial Education Department Research Projects (Y200803009)
文摘In this paper, we consider a double compound Poisson risk model involving two independent classes ofinsurance risks with a threshold dividend strategy. We derived the integro-differential equations （IDE） with certain boundary conditions for the present value of dividends until ruin. When the claims from both classes are exponentially distributed, we show that the threshold dividend strategy is an optimal dividend strategy.
基金the National Natural Science Foundation of China(10571092)the major program of Key Research Institute of HumanitiesSocial Sciences at Universities(04JJD790006).
文摘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.
