کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9552796 | 1374149 | 2005 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times](/preview/png/9552796.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 37, Issue 2, 18 October 2005, Pages 324-334
Journal: Insurance: Mathematics and Economics - Volume 37, Issue 2, 18 October 2005, Pages 324-334
نویسندگان
Hansjörg Albrecher, M.Mercè Claramunt, Maite Mármol,