带分红策略的连续时间复合二项模型的破产概率

The Ruin Probability in the Continuous-Time Compound Binomial Model with Dividend Strategy

把分红政策应用到连续时间复合二项模型，借助Gerber—Shiu折扣罚函数，对模型中的破产时刻、破产前盈余、破产赤字进行分析，得到Gerber—Shiu折扣罚函数满足的一个方程，并利用方程求出了最终破产概率的迭代关系式．

In this paper, the constant dividend strategy is applied in the Continuous-Time Compound Binomial Model. With the use of Gerber-Shiu discounted penalty function, the time of ruin, the surplus before ruin and the deficit at ruin of the model are analyzed. An equation that Gerber-Shiu discounted penalty function satisfies is obtained, and the iterative formula for the probability of ultimate ruin is also found by applying this equation.