Moments of discounted dividend payments in a risk model with randomized dividend-decision times
Frontiers of Mathematics in China(2016)
摘要
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.
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关键词
Moments of discounted dividends, compound Poisson model, integro-differential equation, ruin, 91B28
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