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Complete monotonicity of the probability of ruin and de Finetti’s dividend problem

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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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Correspondence to Chuancun Yin.

Additional information

This paper was supported by the National Natural Science Foundation of China under Grant No. 11171179 and the Research Fund for the Doctoral Program of Higher Education of China under Grant No. 20093705110002.

This paper was recommended for publication by Editor Guohua ZOU.

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Dong, H., Yin, C. Complete monotonicity of the probability of ruin and de Finetti’s dividend problem. J Syst Sci Complex 25, 178–185 (2012). https://doi.org/10.1007/s11424-012-9042-7

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  • DOI: https://doi.org/10.1007/s11424-012-9042-7

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