On the compound binomial risk model with delayed claims and randomized dividends
This paper extends the work of Yuen et al. (2013), who obtained explicit results for the discount-free Gerber-Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero threshold level. Specifically, we establish a recursion meth...
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| Veröffentlicht in: | Risks (Basel) 2018-03, Vol.6 (1), p.1-13 |
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| creator | Wat, Kam Pui Yuen, Kam Chuen Li, Wai Keung Wu, Xueyuan |
| description | This paper extends the work of Yuen et al. (2013), who obtained explicit results for the discount-free Gerber-Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero threshold level. Specifically, we establish a recursion method for computing the Gerber-Shiu expected discounted penalty function, which entails a number of important quantities in ruin theory, within the framework of the compound binomial aggregate claims with delayed by-claims and randomized dividends payable at a non-negative threshold level. |
| doi_str_mv | 10.3390/risks6010006 |
| format | Article |
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| source | MDPI - Multidisciplinary Digital Publishing Institute; DOAJ Directory of Open Access Journals; Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals |
| subjects | Binomial distribution compound binomial riskmodel delayed claims Dividends Gerber-Shiu function randomized dividends Risk management |
| title | On the compound binomial risk model with delayed claims and randomized dividends |
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