随机环境下具有阈值分红策略的风险过程的破产时间分析

doi:10.16088/j.issn.1001-6600.2018.03.008

Journal of Guangxi Normal University(Natural Science Edition) ›› 2018, Vol. 36 ›› Issue (3): 56-62.doi: 10.16088/j.issn.1001-6600.2018.03.008

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Analysis of the Ruin Time of Threshold Dividend Strategy Risk Model under Stochastic Environment

WEN Yuzhuo¹, TANG Shengda^{2, *}, DENG Guohe²

1. College of Economics and Management,Guangxi Normal University,Guilin Guangxi 541006,China;
2. College of Mathematics and Statistics,Guangxi Normal University,Guilin Guangxi 541006,China

Received:2017-04-11 Online:2018-07-17 Published:2018-07-17

Abstract

Abstract: In this paper,a threshold dividend strategy risk model with phase-type claims under stochastic environment is analyzed and a novel algorithm to obtain the Laplace-stieltjes transform (LST) of the ruin time is proposed. The initial surplus of the risk process is neglected,and the risk process is transformed into a Finite Markov Fluid Queue (FMFQ) with initial level zero. Using the FMFQ theory,the LST expressions of the ruin time are obtained through the relationship between the ruin time of the risk process and the busy period of the FMFQ,and the expression of ultimate ruin probability is also presented.

Key words: risk theory, ruin time, Laplace-stieltjes transform, finite Markov fluid queue

CLC Number:

O211.9

WEN Yuzhuo, TANG Shengda, DENG Guohe. Analysis of the Ruin Time of Threshold Dividend Strategy Risk Model under Stochastic Environment[J].Journal of Guangxi Normal University(Natural Science Edition), 2018, 36(3): 56-62.

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