Two classes of risk model with diffusion and multiple thresholds: the discounted dividends

Wuyuan JİANG

Makale detayları

Two classes of risk model with diffusion and multiple thresholds: the discounted dividends

Yazarlar:

Wuyuan JİANG

Yayıncı:

Hacettepe University

Ana Başlıklar:

Analiz

Dergi:

Hacettepe Journal of Mathematics and Statistics 2019 Vol.48 Issue 1, pp.200-212

Belge Tipi:

Makale

Yayın Tarihi:

1/2019

Belge Dili:

İngilizce

Document ID (Org No.):

2000451667

Sıklık:

İki Aylık

eISSN:

2651-477X

pISSN:

2651-477X

Özet:

 

In this paper, we consider the present value of total dividends until ruin in a perturbed risk model with two independent classes of risks under multiple thresholds, in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations for the moment-generating function and the rrrth moment of discounted dividend payments. Explicit expressions for the expectation of discounted dividend payments are derived if the two classes claim amountdistributions both belong to the rational family.

Makale detayları

Two classes of risk model with diffusion and multiple thresholds: the discounted dividends

Yazarlar: Wuyuan JİANG

Yayıncı: Hacettepe University

Ana Başlıklar: Analiz

Dergi: Hacettepe Journal of Mathematics and Statistics 2019 Vol.48 Issue 1, pp.200-212

Belge Tipi: Makale

Yayın Tarihi: 1/2019

Belge Dili: İngilizce

Document ID (Org No.): 2000451667

Sıklık: İki Aylık

eISSN: 2651-477X

pISSN: 2651-477X

Sayı

Yazarlar:

Wuyuan JİANG

Yayıncı:

Hacettepe University

Ana Başlıklar:

Analiz

Dergi:

Hacettepe Journal of Mathematics and Statistics 2019 Vol.48 Issue 1, pp.200-212

Belge Tipi:

Makale

Yayın Tarihi:

1/2019

Belge Dili:

İngilizce

Document ID (Org No.):

2000451667

Sıklık:

İki Aylık

eISSN:

2651-477X

pISSN:

2651-477X