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- W2078117089 abstract "In insurance mathematics, a compound Poisson model is often used to describe the aggregate claims of the surplus process. In this paper, we consider the dual of the compound Poisson model under a threshold dividend strategy. We derive a set of two integro-differential equations satisfied by the expected total discounted dividends until ruin and show how the equations can be solved by using only one of the two integro-differential equations. The cases where profits follow an exponential or a mixture of exponential distributions are then solved and the discussion for the case of a general profit distribution follows by the use of Laplace transforms. We illustrate how the optimal threshold level that maximizes the expected total discounted dividends until ruin can be obtained, and finally we generalize the results to the case where the surplus process is a more general skip-free downwards Lévy process." @default.
- W2078117089 created "2016-06-24" @default.
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- W2078117089 date "2009-04-01" @default.
- W2078117089 modified "2023-10-17" @default.
- W2078117089 title "On a dual model with a dividend threshold" @default.
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- W2078117089 doi "https://doi.org/10.1016/j.insmatheco.2008.11.011" @default.
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