On a discrete-time risk model with delayed claims and dividends
نویسندگان
چکیده
In this paper, we study the discounted free Gerber-Shiu function for the compound binomial risk model with by-claims and randomized dividend policy. Specifically, explicit expression for the discounted free Gerber-Shiu function is obtained. This result allows us to derive formulae for some useful insurance quantities, including the ruin probability, the probability function of the deficit at ruin, the joint probability function of the surplus immediately before ruin and the deficit at ruin, and the probability function of the claim causing ruin.
منابع مشابه
On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends
This paper considers the expected penalty functions for a discrete semi-Markov risk model with randomized dividends. Under the model, individual claims are governed by a Markov chain with finite state space, and the insurer pays a dividend of 1 with a probability at the end of each period if the present surplus is greater than or equal to a threshold value. Recursive formulae and the initial va...
متن کاملOn a Discrete Interaction Risk Model with Delayed Claims
We study a discrete-time interaction risk model with delayed claims within the framework of the compound binomial model. Using the technique of generating functions, we derive both a recursive formula and a defective renewal equation for the expected discounted penalty function. As applications, the probabilities of ruin and the joint distributions of the surplus one period to ruin and the defi...
متن کاملExpected Present Value of Total Dividends in the Compound Binomial Model with Delayed Claims and Random Income∗
In this paper, a compound binomial model with a constant dividend barrier and random income is considered. Two types of individual claims, main claims and byclaims, are defined, where every by-claim is induced by the main claim and may be delayed for one time period with a certain probability. The premium income is assumed to another binomial process to capture the uncertainty of the customer’s...
متن کاملRuin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends
We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer’s minimal capital requirement, dividend paying situations, and external financial activities. We focus on the development of a recursive computational procedure to calculate the finite-time ruin probabilities and expected total discounted dividends paid prior t...
متن کاملDividend Strategies for Insurance risk models
Based on different objectives, various insurance risk models with adaptive polices have been proposed, such as dividend model, tax model, model with credibility premium, and so on. In this report, we will only focus the study on dividend strategies. Here are some reasons why the dividend strategy is of interest. For an insurance company, ruin occurs when a claim size is greater than its reserve...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Risk and Decision Analysis
دوره 4 شماره
صفحات -
تاریخ انتشار 2013