Moments of discounted dividend payments in a risk model with randomized dividend-decision times

详细信息    查看全文

• 作者：Zhimin Zhang ; Chaolin Liu
• 关键词：Moments of discounted dividends ; compound Poisson model ; integro ; differential equation ; ruin
• 刊名：Frontiers of Mathematics in China
• 出版年：2017
• 出版时间：April 2017
• 年：2017
• 卷：12
• 期：2
• 页码：493-513
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics, general;
• 出版者：Higher Education Press
• ISSN：1673-3576
• 卷排序：12

文摘

We consider a perturbed compound Poisson risk model with randomized dividend-decision times. Different from the classical barrier dividend strategy, the insurance company makes decision on whether or not paying off dividends at some discrete time points (called dividend-decision times). Assume that at each dividend-decision time, if the surplus is larger than a barrier b > 0; the excess value will be paid off as dividends. Under such a dividend strategy, we study how to compute the moments of the total discounted dividend payments paid off before ruin.