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2014•Unpublished venueRequires access

The Gerber-Shiu Penalty Function of the Compound Markov Binomial Model With Randomized Decisions on Paying Dividends

Mengya Zhang

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Abstract

In this paper,we study the compound Markov binomial model with randomized decisions on paying dividends.The insurer pays a dividend of 1 with a probability q0 when the surplus is greater than or equal to 0.Introduce the dividend bound to the compound binomial model.We will derive defective renewal equation for the Gerber- Shiu discounted penalty function.

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What this paper is about

In this paper,we study the compound Markov binomial model with randomized decisions on paying dividends.The insurer pays a dividend of 1 with a probability q0 when the surplus is greater than or equal to 0.Introduce the dividend bound to the compound binomial model.We will derive defective renewal equation for the Gerber- Shiu discounted penalty function.

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Available abstract

In this paper,we study the compound Markov binomial model with randomized decisions on paying dividends.The insurer pays a dividend of 1 with a probability q0 when the surplus is greater than or equal to 0.Introduce the dividend bound to the compound binomial model.We will derive defective renewal equation for the Gerber- Shiu discounted penalty function.

Key concepts: Dividend, Markov chain, Penalty method, Binomial (polynomial), Mathematics, Binomial distribution, Function (biology), Econometrics

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