On the dual risk model with Parisian implementation delays in dividend payments
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- 作者：Eric C.K. Cheung ; a ; eckc@hku.hk" class="auth_mail" title="E-mail the corresponding author ; Jeff T.Y. Wongb
- 关键词：Parisian implementation delays ; Dual risk model ; Discounted dividends ; Time of ruin ; Erlangization
- 刊名：European Journal of Operational Research
- 出版年：2017
- 出版时间：16 February 2017
- 年：2017
- 卷：257
- 期：1
- 页码：159-173
- 全文大小：768 K
文摘
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The dual compound Poisson risk model with a dividend barrier strategy is studied.
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We consider both fixed and Erlang(n) Parisian implementation delays in dividends.
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Laplace transform of ruin time and expected discounted dividends are derived.
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Optimal barrier maximizing dividends is found to depend on the initial surplus level.
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Performance of Erlangization for n up to 100 to approximate a fixed time is assessed.