Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4641100 | Journal of Computational and Applied Mathematics | 2009 | 15 Pages |
Abstract
In this paper, we consider a jump-diffusion risk process with the threshold dividend strategy. Both the distributions of the inter-arrival times and the claims are assumed to be in the class of phase-type distributions. The expected discounted dividend function and the Laplace transform of the ruin time are discussed. Motivated by Asmussen [S. Asmussen, Stationary distributions for fluid flow models with or without Brownian noise, Stochastic Models 11 (1) (1995) 21–49], instead of studying the original process, we study the constructed fluid flow process and their closed-form formulas are obtained in terms of matrix expression. Finally, numerical results are provided to illustrate the computation.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Bo Li, Rong Wu, Min Song,