On the renewal risk model under a threshold strategy (Q1026427)

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On the renewal risk model under a threshold strategy
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    On the renewal risk model under a threshold strategy (English)
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    25 June 2009
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    This paper concerns the problem of 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.
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    dividend payment
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    Gerber-Shiu expected discounted penalty function
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    renewal risk process
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    threshold strategy
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