Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4638906 | Journal of Computational and Applied Mathematics | 2014 | 17 Pages |
Abstract
In this paper, we consider the dividend problems for a discrete semi-Markov risk model, which assumes individual claims are influenced by a Markov chain with finite state space. Explicit expressions for the total expected discounted dividends until ruin are obtained in a case considered by Reinhard and Snoussi (2001, 2002). Then a more general situation is examined, in which a new method is developed to derive closed-form expressions for the total expected discounted dividends. For illustration purposes, only two-state and three-state models are examined. Finally, a numerical example is presented, which shows that the results obtained through different methods are equivalent.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Mi Chen, Junyi Guo, Xueyuan Wu,