The Exit Time And The Dividend Problem For Compound Poisson Risk Model

  IJMTT-book-cover
 
International Journal of Mathematics Trends and Technology (IJMTT)
 
© 2021 by IJMTT Journal
Volume-67 Issue-2
Year of Publication : 2021
Authors : Peng Li
  10.14445/22315373/IJMTT-V67I2P509

MLA

MLA Style: Peng Li. "The Exit Time And The Dividend Problem For Compound Poisson Risk Model" International Journal of Mathematics Trends and Technology 67.2 (2021):57-67. 

APA Style: Peng Li(2021). The Exit Time And The Dividend Problem For Compound Poisson Risk Model. International Journal of Mathematics Trends and Technology, 57-67.

Abstract
In this paper, we consider the classical risk model with mixed dividend strategy. Integro-differential equations for the Laplace transform of exit times from interval are derived. Unlike previous studies, this paper uses exit time to calculate the expected discounted dividend payments prior to ruin under compound Poisson model. When the claims are exponentially distributed, the analytical solution is presented.

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Keywords : Classical risk model, Mixed dividend strategy, Dividend payment, Exponential claims, Exit times