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- Title
The compound Poisson risk model with a threshold strategy under constant interest.
- Authors
Hei Fei-yue; Liu Xiang-zeng; He Xing-shi; Zhao Wen-zhi; Li Zhi-hua
- Abstract
In this paper, it is considered that the expected discounted penalty function for compound Poisson risk process with a threshold strategy under constant interest. Firstly the integro-differential equations and the explicit solution to the integro-differential equations are derived. Secondly the expressions for the ruin probability and the joint distribution of the surplus immediately before ruin and the deficit at ruin are given. Finally it is obtained that the integro-differential equations satisfied by the expected discounted penalty function when the risk process perturbed by diffusion.
- Subjects
POISSON algebras; NUMERICAL solutions to Poisson's equation; INTEGRO-differential equations; RISK assessment -- Mathematical models; THRESHOLD logic
- Publication
Basic Sciences Journal of Textile Universities / Fangzhi Gaoxiao Jichu Kexue Xuebao, 2011, Vol 24, Issue 4, p530
- ISSN
1006-8341
- Publication type
Article