The Gerber-Shiu Discounted Penalty Function for Classical Risk Model with a Threshold Dividend Strategy

摘要：

In this paper, we present the classical compound Poisson risk model with a threshold dividend strategy. Under such as strategy, no dividends are paid if the insurer’s surplus below certain threshold level. When the surplus is above this threshold level, dividends are paid at a constant rate. In this model, we derive and solve an integro-differential equation for the Gerber-Shiu discounted penalty function.

关键词： Gerber-Shiu discounted penalty function risk model threshold strategy Integro-differential equation

作者: Ma xuesi Liu cihua

作者单位: School of Mathematics and Information Science, Henan Polytechnic University, jiaozuo, P.R.China,4540 School of Mathematics and Statistics, Huazhong University of Science and Technology, wuhan, P.R.Chin

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-6

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）