ISSN 0253-2778

CN 34-1054/N

Open AccessOpen Access JUSTC

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

Cite this:
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: 21 January 2015
  • Rev Recd Date: 30 May 2015
  • Publish Date: 28 February 2016
  • 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.
    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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