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On a Classical Risk Model with a Constant Dividend Barrier

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On a Classical Risk Model with a Constant Dividend Barrier

Zhou, Xiaowen (2004) On a Classical Risk Model with a Constant Dividend Barrier. Technical Report. Concordia University. Department of Mathematics & Statistics, Montreal, Quebec.

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Abstract

We consider a risk model with a constant dividend barrier. An explicit expression is obtained for the joint distribution of the surplus immediately prior to ruin and the deficit at ruin, discounted by the ruin time. Such an expression involves known results on the joint distribution
at ruin for a classical risk model with single premium rate. The joint distributions related to the time periods when dividends are paid are also discussed. In particular, a new expression is obtained for the expected present value of the total amount of dividend payments until ruin.

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Monograph (Technical Report)
Authors:Zhou, Xiaowen
Series Name:Department of Mathematics & Statistics. Technical Report No. 10/04
Corporate Authors:Concordia University. Department of Mathematics & Statistics
Institution:Concordia University
Date:November 2004
Keywords:Expected present value of total dividends until ruin; Joint distribution of the surplus involving ruin time; Risk model with a constant dividend barrier
ID Code:6659
Deposited By:DIANE MICHAUD
Deposited On:02 Jun 2010 12:22
Last Modified:08 Dec 2010 18:24
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