Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4637753 | Journal of Computational and Applied Mathematics | 2017 | 13 Pages |
Abstract
This paper considers the expected penalty functions for a discrete semi-Markov risk model with randomized dividends. Under the model, individual claims are governed by a Markov chain with finite state space, and the insurer pays a dividend of 1 with a probability at the end of each period if the present surplus is greater than or equal to a threshold value. Recursive formulae and the initial values for the discounted free penalty functions are derived in the two-state model. A numerical example is provided to illustrate the impact of dividend payments on ruin probabilities.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Kam Chuen Yuen, Mi Chen, Kam Pui Wat,