On the improved thinning risk model under a periodic dividend barrier strategy

Abstract

<abstract><p>In this study, we consider a periodic dividend barrier strategy in an improved thinning risk model, which indicates that insurance companies randomly receive premiums and pay dividends. In the improved model, the premium is stochastic, and the claim counting process is a p-thinning process of the premium counting process. The integral equations satisfied by the Gerber-Shiu function and the expected discounted cumulative dividend function are derived. Explicit expressions of those actuarial functions are obtained when the claim and premium sizes are exponentially distributed. We analyze and illustrate the impact of various parameters on them and obtain the optimal barrier. Finally, a conclusion is drawn.</p></abstract>