The distribution of total dividend payments in a Sparre Andersen model

被引：9
|
作者：
Li, Shuanming [1 ]
Lu, Yi [2 ]
机构：
[1] Univ Melbourne, Dept Econ, Ctr Actuarial Studies, Melbourne, Vic 3010, Australia
[2] Simon Fraser Univ, Dept Stat & Actuarial Sci, Burnaby, BC V5A 1S6, Canada
来源：
STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 09期
关键词：
RISK PROCESS; RUIN; SURPLUS; MOMENTS;
D O I：
10.1016/j.spl.2009.01.018
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：
We study the distribution of the total dividend payments in a Sparre Andersen model with phase-type inter-claim times in the presence of a constant dividend barrier. This paper shows that the distribution of the total dividend payments prior to the time of ruin is a mixture of a degenerate distribution at zero and a phase-type distribution. Further, the total dividends prior to ruin can be expressed as a compound geometric sum. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：1246 / 1251
页数：6
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