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The expected discounted penalty function under the compound Poisson risk model with tax payments and a threshold dividend strategy

  • 1.

    School of Applied Mathematics, Xinjiang University of Finance and Economics, Urumqi 830012, China

  • 2.

    College of Sciences, Jiangxi Agricultural University, Nanchang 330045, China

Cite this: JUSTC, 2016, 46(2): 87-94
https://doi.org/10.3969/j.issn.0253-2778.2016.02.001
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  • Author Bio:

    WANG Wenyuan, male, born in 1982, PhD. Research field: risk management and actuarial science.

  • Corresponding author:

    LIU Zhang

  • Received Date: January 20, 2015
  • Revised Date: May 29, 2015
  • Published Date: February 27, 2016
    Abstract
  • The compound Poisson risk model was considered in which taxes were paid according to a loss-carry forward system and dividends were paid under a threshold strategy. For this model, the ruin quantities were discussed by defining an expected discounted penalty function at ruin and the analytical integro-differential equation satisfied by the expected discounted penalty function was derived. Finally, in the case where the individual claims follow an exponential distribution, explicit expressions for the ruin probability were given.
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