Barrier dividend problem on the dual risk model with general income distribution

GUO Junyi; Zhang Xin; HE Yali

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Barrier dividend problem on the dual risk model with general income distribution

GUO Junyi 1 *,Zhang Xin 2,HE Yali 2

1.School of Mathematical Sciences, Nankai University, Tianjin 300071

2.Science School, Hebei United University, Tangshan 063009

*Correspondence author

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Funding: National Natural Science Foundation of China (11171164) and the Research Fund for the Doctoral Program of Higher Education of China（No.No.20090031110001）

Opened online:17 February 2013

Accepted by: none

Citation: GUO Junyi,Zhang Xin,HE Yali.Barrier dividend problem on the dual risk model with general income distribution[OL]. [17 February 2013] http://en.paper.edu.cn/en_releasepaper/content/4520504

In this paper, we consider dividend problems for the so-called dualmodel in which the aggregate incomes process follows a compoundPoisson process. By the strong Markov property of the surplusprocess of the dual model, we obtain an explicit expression for theexpected discounted dividends until ruin under the barrier strategywhen incomes are generally distributed.

Keywords:Probability theory; Dividend; Dual risk process; Markov property

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