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

Peng Li

doi:https://doi.org/10.14445/22315373/IJMTT-V67I2P509

International Journal of Mathematics Trends and Technology

Research Article | Open Access | Download PDF

Volume 67 | Issue 2 | Year 2021 | Article Id. IJMTT-V67I2P509 | DOI : https://doi.org/10.14445/22315373/IJMTT-V67I2P509

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

Peng Li

Citation :

Peng Li, "The Exit Time And The Dividend Problem For Compound Poisson Risk Model," International Journal of Mathematics Trends and Technology (IJMTT), vol. 67, no. 2, pp. 57-67, 2021. Crossref, https://doi.org/10.14445/22315373/IJMTT-V67I2P509

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.

Keywords

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

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