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2009•Mathematics in EconomicsRequires access

A KIND OF ERLANG(2) RISK MODEL WITH NEW DIVIDEND BARRIER

Wang Jian-wen

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Abstract

Considering the fact that the dividend firing rate is less than the premium rate in the operational of the insurance company,we introduced a new dividend policy to the Erlang(2)risk model.By the renewal argument,we derived and solved the integro-differential equation,which was satisfied by the expected discounted penalty funcion.Finally,we gave a numerical example to analyze the influence of the dividend barrier and the initial surplus on the ruin probability.

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What this paper is about

Considering the fact that the dividend firing rate is less than the premium rate in the operational of the insurance company,we introduced a new dividend policy to the Erlang(2)risk model.By the renewal argument,we derived and solved the integro-differential equation,which was satisfied by the expected discounted penalty funcion.Finally,we gave a numerical example to analyze the influence of the dividend barrier and the initial surplus on the ruin probability.

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Available abstract

Considering the fact that the dividend firing rate is less than the premium rate in the operational of the insurance company,we introduced a new dividend policy to the Erlang(2)risk model.By the renewal argument,we derived and solved the integro-differential equation,which was satisfied by the expected discounted penalty funcion.Finally,we gave a numerical example to analyze the influence of the dividend barrier and the initial surplus on the ruin probability.

Key concepts: Erlang (programming language), Dividend, Risk model, Risk process, Erlang distribution, Mathematical economics, Applied mathematics, Actuarial science

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