Randomized Dividends in a Discrete Insurance Risk Model with Stochastic Premium Income
Author
Source
Mathematical Problems in Engineering
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-03-10
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
The compound binomial insurance risk model is extended to the case where the premium income process, based on a binomial process, is no longer a constant premium rate of 1 per period and insurer pays a dividend of 1 with a probability q0 when the surplus is greater than or equal to a nonnegative integer b.
The recursion formulas for expected discounted penalty function are derived.
As applications, we present the recursion formulas for the ruin probability, the probability function of the surplus prior to the ruin time, and the severity of ruin.
Finally, numerical example is also given to illustrate the effect of the related parameters on the ruin probability.
American Psychological Association (APA)
Yu, Wenguang. 2013. Randomized Dividends in a Discrete Insurance Risk Model with Stochastic Premium Income. Mathematical Problems in Engineering،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-1009921
Modern Language Association (MLA)
Yu, Wenguang. Randomized Dividends in a Discrete Insurance Risk Model with Stochastic Premium Income. Mathematical Problems in Engineering No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-1009921
American Medical Association (AMA)
Yu, Wenguang. Randomized Dividends in a Discrete Insurance Risk Model with Stochastic Premium Income. Mathematical Problems in Engineering. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-1009921
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1009921