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

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• 作者：Kam Chuen Yuen^a ; Mi Chen^b ; ^{chenmi0610@163.com" class="auth_mail" title="E-mail the corresponding author} ; Kam Pui Wat^a
• 关键词：Expected penalty function ; Dividend ; Generating function ; Recursive formula ; Semi-Markov risk model
• 刊名：Journal of Computational and Applied Mathematics
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：311
• 期：Complete
• 页码：239-251
• 全文大小：461 K

文摘

This paper considers the expected penalty functions for a discrete semi-Markov risk model with randomized dividends. Under the model, individual claims are governed by a Markov chain with finite state space, and the insurer pays a dividend of 1 with a probability at the end of each period if the present surplus is greater than or equal to a threshold value. Recursive formulae and the initial values for the discounted free penalty functions are derived in the two-state model. A numerical example is provided to illustrate the impact of dividend payments on ruin probabilities.