带壁分红策略下对偶模型的破产概率

The Probability in Ruin with Barrier Dividend in the Dual Model

研究了对偶模型在带壁分红策略下的破产问题,给出了相应的期望折现罚金函数所满足的积分方程与积分微分方程;当收益额服从指数分布时,得到了破产概率的显示解.

This paper investigates the ruin problem in the dual model with a constant dividend barrier.The integral and integral-differential equations for expected discounted penalty function until ruin are derived.The probability in ruin with barrier dividend in the dual model is solved when the individual profit size distribution is exponential.