A Dependence Risk Model with Dividend Barrier
Xiang-Hua Zhao
Abstract
Xiang-Hua Zhao
Abstract
In this paper,some results on the dividend payments prior to ruin in a risk model with dependence between claim sizes and claim intervals are obtained.A system of integro-differential equations with boundary conditions satisfied by the expectation and moment generating function of present value of the discounted dividends until ruin is derived.In exponential case,the solution of the system of integro-differential equations is given.
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In this paper,some results on the dividend payments prior to ruin in a risk model with dependence between claim sizes and claim intervals are obtained.A system of integro-differential equations with boundary conditions satisfied by the expectation and moment generating function of present value of the discounted dividends until ruin is derived.In exponential case,the solution of the system of integro-differential equations is given.
Key concepts: Dividend, Risk model, Exponential function, Mathematics, Moment (physics), Applied mathematics, Differential equation, Value (mathematics)