Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4634533 | Applied Mathematics and Computation | 2007 | 11 Pages |
Abstract
This paper considers the compound binomial model with randomized decisions on paying dividends. By using two formulas obtained by Tan and Yang [J.Y. Tan, X.Q. Yang, The compound binomial model with randomized decisions on paying dividends, Insurance: Mathematics and Economics 39 (2006) 1-18], two defective renewal equations for the Gerber-Shiu penalty function are derived and solved. The analytic solutions obtained are utilized to derive the probability of ultimate ruin, the deficit distribution at ruin and the distribution of the claim causing ruin. The asymptotic estimate satisfied by the penalty function is discussed in some detail.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Zhen-hua Bao,