On the distribution of dividend payments in a Sparre!Andersen model with generalized Erlang(n) interclaim times

被引：51
作者：
Albrecher, H
Claramunt, MM
Mármol, M
机构：
[1] Graz Univ Technol, Dept Math, A-8010 Graz, Austria
[2] Univ Aarhus, DK-8000 Aarhus, Denmark
[3] Univ Barcelona, Barcelona 08034, Spain
来源：
INSURANCE MATHEMATICS & ECONOMICS | 2005年 / 37卷 / 02期
基金：
奥地利科学基金会;
关键词：
renewal risk model; dividend barrier; present value of dividend payments; moment-generating function;
D O I：
10.1016/j.insmatheco.2005.05.004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we present some results on the distribution of dividend payments until ruin under a Sparre Andersen risk model with generalized Erlang(n)-distributed inter-claim times and a constant dividend barrier. An integro-differential equation for the moment-generating function of the sum of the discounted dividend payments until ruin is derived. Moreover, explicit solutions for arbitrary moments of the present value of dividend payments are obtained, when the individual claim amounts have a distribution with rational Laplace transform. Numerical illustrations of the results are given for an Erlang(2) risk model and Erlang(2)-distributed claim amounts. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码：324 / 334
页数：11
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