TITLE:
Closed-Form Absolute Ruin Problems of the Risk Models with State-Dependent Switched Claims
AUTHORS:
Yuanxun Liu, Dianli Zhao
KEYWORDS:
Ruin Probability, Threshold Dividend Strategy, Switched Exponential Distribution, Hypergeometric Function
JOURNAL NAME:
Journal of Applied Mathematics and Physics,
Vol.5 No.12,
December
14,
2017
ABSTRACT: This letter mainly investigates a general risk model with the threshold dividend strategy under assumption that the claim amounts obey a state-dependent switched exponential distribution. By establishing the differential-integral equations for the Gerber-Shiu discounted penalty function, and applying the hypergeometric functions, the closed-form absolute ruin probability is derived.