The Risk Model with a Constant Dividend Barrier Affected by a Threshold Value

Li, Qiao (2022) The Risk Model with a Constant Dividend Barrier Affected by a Threshold Value. Asian Journal of Probability and Statistics, 19 (3). pp. 28-41. ISSN 2582-0230

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Abstract

This paper considers a new risk model with a constant dividend barrier, which the claim amount affected by a threshold value. The hypothesis of the model is presented and the integro-differential equation for the Gerber-Shiu penalty function is given. Then the linear solution of the Gerber-Shiu discounted penalty function is figured out. The paper also derives the integro-differential equation and the linear solution of the expected discounted dividend payments. An example is given too.

Item Type: Article
Subjects: Oalibrary Press > Mathematical Science
Depositing User: Managing Editor
Date Deposited: 15 Feb 2023 06:59
Last Modified: 01 Aug 2024 06:53
URI: http://asian.go4publish.com/id/eprint/1230

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