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 16:22 
Last Modified:  08 Dec 2010 23:24 
References:  Asmussen, S., 2000. Ruin probabilities. Word Scientific.
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