2005•Journal of Applied ProbabilityRequires access
On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier
Esther Frostig
Open publisher page 10 citations
Abstract
We study the expected time to ruin in a risk process in which dividends are paid when the surplus is above the barrier. We consider the case in which the dividend rate is smaller than the premium rate. We obtain results for the classical compound Poisson risk process with phase-type claim size. When the ruin probability is 1, we derive the expected time to ruin and the expected dividends paid. When the ruin probability is less than 1, these quantities are derived conditioning on the event that ruin occurs.