The Absolute Ruin Risk Model with Constant Interest Investment and a Linear Threshold Dividend Strategy

Abstract

In this paper, the classical absolute ruin risk model and that model with interference are researched based on constant interest investment and a linear threshold barrier dividend strategy. First, renewal equations of moment-generating function and n-th moment with present value of total dividends until absolution ruin are obtained. Second, partial integro-differential equations of Gerber-Shiu function are given.