We study the distribution and moments of the maximum severity of ruin in the compound Poisson risk process with a threshold dividend strategy. The distribution can be analyzed through the probability that the surplus process attains a given level from the initial surplus without first falling below zero. This note extends the results in Picard (1994) and shows that the distribution of the maximum severity of ruin can be expressed explicitly in terms of the ruin probabilities of two classical risk models with different premium rates. The moments of the maximum severity of ruin can be obtained through its distribution function.View full textDownload full textKeywordsCompound Poisson risk process, Threshold dividend strategy, Time of ruin, Maximum surplus before ruin, Maximum severity of ruinRelated var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/03461230902850162
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机译：我们研究了具有阈值分红策略的复合Poisson风险过程中最大破坏程度的分布和矩。可以通过盈余过程从初始盈余达到给定水平而没有先降到零以下的概率来分析分布。该注释扩展了Picard（1994）中的结果，并表明可以用两种具有不同溢价率的经典风险模型的破产概率来明确表示最大破产严重性的分布。可以通过其分布函数获得最大破坏程度的时刻。查看全文下载全文关键字复合泊松风险过程，阈值分红策略，破坏时间，破坏前的最大剩余量，破坏的最大严重程度相关var addthis_config = {ui_cobrand：“ Taylor ＆Francis Online”，services_compact：“ citeulike，netvibes，twitter，technorati，delicious，linkedin，facebook，stumbleupon，digg，google，更多”，发布号：“ ra-4dff56cd6bb1830b”添加到候选列表链接永久链接http://dx.doi.org/10.1080/03461230902850162
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