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October  2014, 10(4): 1041-1058. doi: 10.3934/jimo.2014.10.1041

On a risk model with randomized dividend-decision times

Zhimin Zhang 1,

1. 

College of Mathematics and Statistics, Chongqing University, Chongqing, 401331, China

Received  October 2012 Revised  December 2013 Published  February 2014

In this paper, we consider a perturbed compound Poisson risk model with a randomized dividend strategy. Assume that decisions on paying off dividends are made at some random observation times. Whenever the observed value of the surplus process exceeds a given barrier $b$, the excess value will be paid off as dividends. We assume that the Laplace transform of the individual claim size belongs to the rational family. When the time intervals between successive decision times follow exponential distribution, we present explicit expressions for the Gerber-Shiu function. We also extend the exponential assumption to Erlang and discuss the solution procedure.
Keywords: Erlang., integral equation, Gerber-Shiu function, Dividend-decision time, exponential.
Mathematics Subject Classification: Primary: 91B30; Secondary: 62P0.
Citation: Zhimin Zhang. On a risk model with randomized dividend-decision times. Journal of Industrial and Management Optimization, 2014, 10 (4) : 1041-1058. doi: 10.3934/jimo.2014.10.1041
References:
[1]

H. Albrecher, E. C. K. Cheung and S. Thonhauser, Randomized observation periods for the compound Poisson risk model: Dividends, Astin Bulletin, 41 (2011), 645-672.

[2]

H. Albrecher, E. C. K. Cheung and S. Thonhauser, Randomized observation periods for the compound Poisson risk model: The discounted penalty function, Scandinavian Actuarial Journal, 2013 (2013), 424-452. doi: 10.1080/03461238.2011.624686.

[3]

B. Avanzi, E. C. K. Cheung, B. Wong and J.-K. Woo, On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency, Insurance: Mathematics and Economics, 52 (2013), 98-113. doi: 10.1016/j.insmatheco.2012.10.008.

[4]

B. De Finetti, Su un impostazione alternativa della teoria collectiva del rischio, Transactions of the XVth International Congress of Actuaries, 2 (1957), 433-443.

[5]

H. U. Gerber and E. S. W. Shiu, On the time value of ruin, North American Actuarial Journal, 2 (1998), 48-78. doi: 10.1080/10920277.1998.10595671.

[6]

H. U. Gerber and E. S. W. Shiu, Optimal dividends: Analysis with Brownian motion, North American Actuarial Journal, 8 (2004), 1-20. doi: 10.1080/10920277.2004.10596125.

[7]

A. E. Kyprianou, Introductory Lectures on Fluctuations of Lévy Processes with Applications, Springer-Verlag, Berlin, Heidelberg, 2006.

[8]

S. Li, The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion, Scandinavian Actuarial Journal, 2006 (2006), 73-85. doi: 10.1080/03461230600589237.

[9]

S. Li and J. Garrido, On ruin for the Erlang(n) risk model, Insurance: Mathematics and Economics, 34 (2004), 391-408. doi: 10.1016/j.insmatheco.2004.01.002.

[10]

S. Li and J. Garrido, On a class of renewal risk model with a constant dividend barrier, Insurance: Mathematics and Economics, 35 (2004), 691-701. doi: 10.1016/j.insmatheco.2004.08.004.

[11]

X. S. Lin, G. E. Willmot and S. Drekic, The classical risk model with a constant dividend barrier: Analysis of the Gerber-Shiu discounted penalty function, Insurance: Mathematics and Economics, 33 (2003), 551-566. doi: 10.1016/j.insmatheco.2003.08.004.

[12]

X. S. Lin and K. P. Pavlova, The compound Poisson risk model with a threshold dividend strategy, Insurance: Mathematics and Economics, 38 (2006), 57-80. doi: 10.1016/j.insmatheco.2005.08.001.

[13]

X. S. Lin and K. P. Sendova, The compound Poisson risk model with multiple thresholds, Insurance: Mathematics and Economics, 42 (2008), 617-627. doi: 10.1016/j.insmatheco.2007.06.008.

[14]

C. C. L. Tsai and G. E. Willmot, A generalized defective renewal equation for the surplus process perturbed by diffusion, Insurance: Mathematics and Economics, 30 (2002), 51-66. doi: 10.1016/S0167-6687(01)00096-8.

[15]

Z. Zhang and X. Wu, Dividend payments in the Brownian risk model with randomized decision times, Acta Mathematicae Applicatae Sinica-English Series, (2013), accepted.

show all references

References:
[1]

H. Albrecher, E. C. K. Cheung and S. Thonhauser, Randomized observation periods for the compound Poisson risk model: Dividends, Astin Bulletin, 41 (2011), 645-672.

[2]

H. Albrecher, E. C. K. Cheung and S. Thonhauser, Randomized observation periods for the compound Poisson risk model: The discounted penalty function, Scandinavian Actuarial Journal, 2013 (2013), 424-452. doi: 10.1080/03461238.2011.624686.

[3]

B. Avanzi, E. C. K. Cheung, B. Wong and J.-K. Woo, On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency, Insurance: Mathematics and Economics, 52 (2013), 98-113. doi: 10.1016/j.insmatheco.2012.10.008.

[4]

B. De Finetti, Su un impostazione alternativa della teoria collectiva del rischio, Transactions of the XVth International Congress of Actuaries, 2 (1957), 433-443.

[5]

H. U. Gerber and E. S. W. Shiu, On the time value of ruin, North American Actuarial Journal, 2 (1998), 48-78. doi: 10.1080/10920277.1998.10595671.

[6]

H. U. Gerber and E. S. W. Shiu, Optimal dividends: Analysis with Brownian motion, North American Actuarial Journal, 8 (2004), 1-20. doi: 10.1080/10920277.2004.10596125.

[7]

A. E. Kyprianou, Introductory Lectures on Fluctuations of Lévy Processes with Applications, Springer-Verlag, Berlin, Heidelberg, 2006.

[8]

S. Li, The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion, Scandinavian Actuarial Journal, 2006 (2006), 73-85. doi: 10.1080/03461230600589237.

[9]

S. Li and J. Garrido, On ruin for the Erlang(n) risk model, Insurance: Mathematics and Economics, 34 (2004), 391-408. doi: 10.1016/j.insmatheco.2004.01.002.

[10]

S. Li and J. Garrido, On a class of renewal risk model with a constant dividend barrier, Insurance: Mathematics and Economics, 35 (2004), 691-701. doi: 10.1016/j.insmatheco.2004.08.004.

[11]

X. S. Lin, G. E. Willmot and S. Drekic, The classical risk model with a constant dividend barrier: Analysis of the Gerber-Shiu discounted penalty function, Insurance: Mathematics and Economics, 33 (2003), 551-566. doi: 10.1016/j.insmatheco.2003.08.004.

[12]

X. S. Lin and K. P. Pavlova, The compound Poisson risk model with a threshold dividend strategy, Insurance: Mathematics and Economics, 38 (2006), 57-80. doi: 10.1016/j.insmatheco.2005.08.001.

[13]

X. S. Lin and K. P. Sendova, The compound Poisson risk model with multiple thresholds, Insurance: Mathematics and Economics, 42 (2008), 617-627. doi: 10.1016/j.insmatheco.2007.06.008.

[14]

C. C. L. Tsai and G. E. Willmot, A generalized defective renewal equation for the surplus process perturbed by diffusion, Insurance: Mathematics and Economics, 30 (2002), 51-66. doi: 10.1016/S0167-6687(01)00096-8.

[15]

Z. Zhang and X. Wu, Dividend payments in the Brownian risk model with randomized decision times, Acta Mathematicae Applicatae Sinica-English Series, (2013), accepted.

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