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Moments of discounted dividend payments in a risk model with randomized dividend-decision times
ZHANG Zhi-Min, LIU Chao-Lin
College of Mathematics and Statistics, Chongqing University, Chongqing, 401331
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Funding: 国家自然科学基金 （No.11101451）, 教育部博士点基金（No.20110191120044）
Opened online:21 November 2013
Accepted by: none
Citation: ZHANG Zhi-Min, LIU Chao-Lin.Moments of discounted dividend payments in a risk model with randomized dividend-decision times[OL]. [21 November 2013] http://en.paper.edu.cn/en_releasepaper/content/4569942
 
 
In this paper, we consider a perturbed risk model with randomized dividend-decision times. Different from the classical barrierdividend strategy, the insurance company makes decision on whether or not paying off dividends at some discrete time points (calleddividend-decision times). Assume that at the dividend-decision time, if the surplus is larger than a barrier $b$, the excess value willbe paid out as dividends. Under such dividend strategy, we study how to compute the moments of the total discounted dividend paymentspaid off before ruin.
Keywords:Applied mathematics; Dividend-decision time; Integral equation; Dividend payments; Ruin
 
 
 

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