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| Consider the compound binomial model with randomized decisions on paying dividends; see Tan and Yang (2006b). The insurer pay a dividend of 1 with a probability q0 when the surplus is greater or equal to a non-negative integer x . we will derive the explicit expression for the joint probability function of the time of ruin, the surplus prior to ruin, and the deficit at ruin, which will lead to the explicit expressions for some other ruin qualities, for example, the mass probability function of the time of the ruin, the finite-time ruin probability, and the conditional distribution function of deficit at ruin given the time of ruin, etc.. |
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| Keywords:compound binomial process, finite=time ruin probability, dividend, time of ruin, transition probability. |
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