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