The risk model with stochastic premiums and a multi-layer dividend strategy
Abstract
The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber--Shiu function and the expected discounted dividend payments until ruin. In addition, we concentrate on the detailed investigation of the model in the case of exponentially distributed claim and premium sizes and find explicit formulas for the ruin probability as well as for the expected discounted dividend payments. Lastly, numerical illustrations for some multi-layer dividend strategies are presented.
Keywords
Cite
@article{arxiv.1912.08719,
title = {The risk model with stochastic premiums and a multi-layer dividend strategy},
author = {Olena Ragulina},
journal= {arXiv preprint arXiv:1912.08719},
year = {2019}
}
Comments
Published at https://doi.org/10.15559/19-VMSTA136 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/). arXiv admin note: text overlap with arXiv:1801.01006