关键词: 绝对破产; 门限分红策略; 积分-微分方程; 绝对破产赤字

Abstract:

The absolute ruin problem was studied for  the compound Poisson risk model with debit interest and threshold dividend strategy. Using the method of condition on the time of first claim, an integro-differential equation system with correspond boundary conditions satisfied by the absolute ruin probability and the distribution of deficit at the time to absolute ruin are derived. In the case of exponential individual claim, the explicit expressions of the absolute ruin probability and the distribution of deficit at absolute ruin are given.
  

Key words: absolute ruin; threshold dividend strategy; integro-differential equation; deficit at absolute ruin