On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends

Yuen, Kam Chuen; Chen, Mi; Wat, Kam Pui

doi:10.1016/j.cam.2016.07.024

Cited by 7 publications

(3 citation statements)

References 15 publications

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“…Wu and Li [6] further consider the discrete-time risk model with time-delayed claims and a constant dividend barrier, but the main claim is dependent on its associated by-claim. In the framework of a discrete semi-Markov risk model, a randomized dividend policy is studied by Yuen et al [7]. Zhang and Liu [8] consider a discrete-time risk model with a mathematically tractable dependence structure between interclaim time and claim size in the presence of an impulsive dividend strategy.…”

Section: Introductionmentioning

confidence: 99%

On a Discrete-Time Risk Model with Random Income and a Constant Dividend Barrier

Zhang

Huang

Wang

2021

Journal of Mathematics

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In this paper, a discrete-time risk model with random income and a constant dividend barrier is considered. Under such a dividend policy, once the insurer’s reserve hits the level b b > 0 , the excess of the reserve over b is paid off as dividends. We derive a homogeneous difference equation for the expected present value of dividend payments. Corresponding solution procedures for the difference equation are invested. Finally, we give a numerical example to illustrate the applicability of the results obtained.

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Section: Introductionmentioning

confidence: 99%

On a Discrete-Time Risk Model with Random Income and a Constant Dividend Barrier

Zhang

Huang

Wang

2021

Journal of Mathematics

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“…Chen et al [26] studied the survival probability for a discrete semi-Markov risk model, which assumes individual claims are influenced by a Markov chain with finite state space. Yuen et al [27] investigated the expected penalty functions for a discrete semi-Markov risk model with randomized dividends. Other related works can be found in Lu and Li [28], Diko and Usábel [29], Chen et al [30], Huo et al [31], etc.…”

Section: Introductionmentioning

confidence: 99%

On a Discrete Markov-Modulated Risk Model with Random Premium Income and Delayed Claims

Nie

Chen

Liu³

et al. 2020

Mathematical Problems in Engineering

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In this paper, a discrete Markov-modulated risk model with delayed claims, random premium income, and a constant dividend barrier is proposed. It is assumed that the random premium income and individual claims are affected by a Markov chain with finite state space. The model proposed is an extension of the discrete semi-Markov risk model with random premium income and delayed claims. Explicit expressions for the total expected discounted dividends until ruin are obtained by the method of generating function and the theory of difference equations. Finally, the effect of related parameters on the total expected discounted dividends are shown in several numerical examples.

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“…In addition, He and Yang (2010) considered the compound binomial model with randomly paying dividends to shareholders and policyholders. Very recently, Yuen et al (2017) studied the expected penalty functions for a discrete semi-Markov risk model with randomized dividends.…”

Section: Introductionmentioning

confidence: 99%

On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends

Wat

Yuen

et al. 2018

Risks

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This paper extends the work of Yuen et al. (2013), who obtained explicit results for the discount-free Gerber-Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero threshold level. Specifically, we establish a recursion method for computing the Gerber-Shiu expected discounted penalty function, which entails a number of important quantities in ruin theory, within the framework of the compound binomial aggregate claims with delayed by-claims and randomized dividends payable at a non-negative threshold level.

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On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends

Cited by 7 publications

References 15 publications

On a Discrete-Time Risk Model with Random Income and a Constant Dividend Barrier

On a Discrete-Time Risk Model with Random Income and a Constant Dividend Barrier

On a Discrete Markov-Modulated Risk Model with Random Premium Income and Delayed Claims

On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends

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