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Dergiler / Hacettepe Journal of Mathematics and Statistics / 2026 / Volume: 48 Issue: 1

Two classes of risk model with diffusion and multiple thresholds: the discounted dividends

Wuyuan Jiang
Sayfa
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Yayın Tarihi
2019-02-01
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Explicit expressions for the expectation of discounted dividend payments are derived if the two classes claim amount distributions both belong to the rational family.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:In this paper, we consider the present value of total dividends until ruin in a perturbed risk model with two independent classes of risks under multiple thresholds, in which both of the two inter-claim times have phase-type distributions.
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Temel Bulgular & Veri:We obtain the integro-differential equations for the moment-generating function and the $r$th moment of discounted dividend payments.
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Sonuç & Katkı:Explicit expressions for the expectation of discounted dividend payments are derived if the two classes claim amount distributions both belong to the rational family.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Two classes of claims · Diffusion process · Dividend payments

Abstract

In this paper, we consider the present value of total dividends until ruin in a perturbed risk model with two independent classes of risks under multiple thresholds, in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations for the moment-generating function and the $r$th moment of discounted dividend payments. Explicit expressions for the expectation of discounted dividend payments are derived if the two classes claim amount distributions both belong to the rational family.

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Bu Makaleye Atıf Yap

Jiang, W. (2019). Two classes of risk model with diffusion and multiple thresholds: the discounted dividends. Hacettepe Journal of Mathematics and Statistics, Volume: 48 Issue: 1. https://ajindex.com/articles/1402844

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Kaynakça (16)

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