关键词: 复合Poisson风险过程, 期望折现罚金函数, 门槛分红策略

Abstract: The compound Poisson risk model was considered in which taxes were paid according to a loss-carry forward system and dividends were paid under a threshold strategy. For this model, the ruin quantities were discussed by defining an expected discounted penalty function at ruin and the analytical integro-differential equation satisfied by the expected discounted penalty function was derived. Finally, in the case where the individual claims follow an exponential distribution, explicit expressions for the ruin probability were given.

Key words: compound Poisson risk process, expected discounted penalty function, threshold dividend strategy