On Periodic Dividends for the Classical Risk Model with Debit Interest

Dong, Hanwu; Zhao, Xiang-Hua

doi:10.1155/2020/6395717

Cited by 1 publication

(1 citation statement)

References 24 publications

(34 reference statements)

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“…Pérez and Yamazaki [25] and Noba et al [26] study the optimality of periodic barrier strategies for a spectrally positive Lévy process and Lévy risk processes, respectively. Other relevant literature can be found in Yang and Deng [27], Dong and Zhou [28], Dong and Zhao [29], Yang et al [30], Liu et al [31], and Yu et al [32].…”

Section: Introductionmentioning

confidence: 99%

Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend

Guo

Wang

et al. 2021

Adv Differ Equ

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In this paper, we model the insurance company’s surplus by a compound Poisson risk model, where the surplus process can only be observed at random observation times. It is assumed that the insurer observes its surplus level periodically to decide on dividend payments and capital injection at the interobservation time having an $\operatorname{Erlang}(n)$ Erlang ( n ) distribution. If the observed surplus level is greater than zero but less than injection line $b_{1} > 0$ b 1 > 0 , the shareholders should immediately inject a certain amount of capital to bring the surplus level back to the injection line $b_{1}$ b 1 . If the observed surplus level is larger than dividend line $b_{2}$ b 2 ($b_{2} > b_{1}$ b 2 > b 1 ), any excess of the surplus over $b_{2}$ b 2 is immediately paid out as dividends to the shareholders of the company. Ruin is declared when the observed surplus level is negative. We derive the explicit expressions of the Gerber–Shiu function, the expected discounted capital injection, and the expected discounted dividend payments. Numerical illustrations are also given to analyze the effect of random observation times on actuarial quantities.

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