On the renewal risk model under a threshold strategy

• Autores: Yinghui Dong, Guojing Wang, Kam C. Yuen
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 230, Nº 1, 2009, págs. 22-33
• Idioma: inglés
• DOI: 10.1016/j.cam.2008.10.049
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• Resumen

  • In this paper, we consider the renewal risk process under a threshold dividend payment strategy. For this model, the expected discounted dividend payments and the Gerber�Shiu expected discounted penalty function are investigated. Integral equations, integro-differential equations and some closed form expressions for them are derived. When the claims are exponentially distributed, it is verified that the expected penalty of the deficit at ruin is proportional to the ruin probability.