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A class of risk models dependent threshold dividend strategy

Author: GuZuoZuo
Tutor: YinChuanCun
School: Qufu Normal University
Course: Probability Theory and Mathematical Statistics
Keywords: FGM Copula Threshold dividend strategy Gcrber-Shiu expected discounted penalty function Integral - differential equations Expected discounted dividend function Ruin Probability
CLC: F840
Type: Master's thesis
Year: 2011
Downloads: 36
Quote: 0
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Abstract


This paper considers the amount claimed and claims to have the classic FGM Copula time dependencies of compound Poisson risk model with threshold dividend strategy gives this model Gcrber-Shiu expected discounted penalty function satisfies the differential - integral equation and this an equation and then study the expected discounted dividends homogeneous differential equation and its solution , and finally given in exceptional circumstances bankruptcy probability based on the content article is divided into the following chapters : The first chapter is an introduction , first introduced a threshold dividend strategy with the amount claimed and claims to time-dependent risk model , followed gives classic FGM Copula function concludes with a threshold limit of FGM Copula bonus dependent risk model obtained this chapter a model of Gcrber-Shiu expected discounted penalty function satisfies the non-homogeneous differential - integral equation and its solution expression of the third chapter of the same model before the expected discounted dividend bankruptcy homogeneous integral - differential equations and their articles Chapter IV gives the probability of bankruptcy under special circumstances .

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
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