Wang, Chunwei; Yin, Chuancun; Li, Erqiang - In: Statistics & Probability Letters 80 (2010) 5-6, pp. 427-436
In this paper, we consider the dividend payments in a compound Poisson risk model with credit and debit interests under absolute ruin. We first obtain the integro-differential equations satisfied by the moment generating function and moments of the discounted aggregate dividend payments....