On a perturbed MAP risk model under a threshold dividend strategy

被引：3

作者：

Cheng, Jianhua ^{[1
]}

Wang, Dehui ^{[1
]}

机构：

[1] Jilin Univ, Dept Math, Changchun 130012, Peoples R China

来源：

JOURNAL OF THE KOREAN STATISTICAL SOCIETY | 2013年 / 42卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Markovian arrival process; Gerber-Shiu function; Threshold dividend strategy; Discounted dividend payments; Matrix renewal equation; DISCOUNTED PENALTY; RUIN; TIME; SURPLUS;

D O I：

10.1016/j.jkss.2013.03.004

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we consider a perturbed risk model where the claims arrive according to a Markovian arrival process (MAP) under a threshold dividend strategy. We derive the integro-differential equations for the Gerber-Shiu expected discounted penalty function and the moments of total dividend payments until ruin, obtain the analytical solutions to these equations, and give numerical examples to illustrate our main results. We also get a matrix renewal equation for the Gerber-Shiu function, and present some asymptotic formulas for the Gerber-Shiu function when the claim size distributions are heavy-tailed. (C) 2013 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.

引用

页码：543 / 564

页数：22

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