On a discrete-time risk model with time-dependent claims and impulsive dividend payments

被引:4
作者
Zhang, Lianzeng [1 ]
Liu, He [1 ]
机构
[1] Nankai Univ, Sch Finance, Tongyan Rd 38, Tianjin 300350, Peoples R China
关键词
Discrete-time risk model; dependence structure; dividend strategy; defective renewal equation; bivariate geometric distribution; DISCOUNTED PENALTY-FUNCTION; COMPOUND BINOMIAL MODEL; RUIN PROBABILITIES;
D O I
10.1080/03461238.2020.1726808
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
A discrete-time risk model with a mathematically tractable dependence structure between interclaim times and claim sizes is considered in the presence of an impulsive dividend strategy. Under such a strategy, once the insurer's reserve upcrosses the level b, the excess of the reserve over is paid off as dividends. We derive difference equations for both the expected discounted penalty function and the expected present value of dividend payments. Solution procedures for these difference equations are provided. When the joint distribution of the interclaim time and claim size is a finite mixture of bivariate geometric distributions, closed-form expressions are given. Numerical results for several sets of parameters are also provided to illustrate the applicability of the results obtained.
引用
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页码:736 / 753
页数:18
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