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Research Paper | Mathematics | China | Volume 5 Issue 6, June 2016 | Popularity: 6.6 / 10
On the Compound Poisson Model with Debit Interest under Absolute Ruin
Dingjie Fu, Yan Guo
Abstract: This paper considers the dividend payments in a compound poisson model with debit interest under absolute ruin. Firstly, we obtain the moment generating function and moments of the discounted aggregate dividend payments, then applying these results, we get the explicit expressions of them for exponential claims. Finally, we give the numerical solution of the optimal dividend barrier and the expected discounted aggregate dividend payment which are influenced by the credit interest.
Keywords: Compound poisson model, Absolute ruin, Moment generating function, Dividend payment
Edition: Volume 5 Issue 6, June 2016
Pages: 1872 - 1875
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