Complete monotonicity of the probability of ruin and de Finetti’s dividend problem |
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| Authors: | Hua Dong Chuancun Yin |
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| Institution: | 1. School of Mathematical Sciences, Qufu Normal University, Qufu, 273165, China
2. School of Mathematical Science and Computing Technology, Central South University, Changsha, 410075, China
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| Abstract: | This paper studies the complete monotonicity of the probability of ruin ψ in the the classical risk model and the classical risk model that is perturbed by a diffusion. As a byproduct, the authors
give an alternative proof to a result on the optimal dividend problem due to Loeffen (2008). |
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