Format:
1 Online-Ressource (22 p)
Content:
This paper is dedicated to study the discrete time compound binomial dual risk model, where the income is time-correlated, and there is a constant dividend barrier. It is close to the reality if we consider that the incomes in different periods are correlated. And in this paper, the income is assumed to follow a compound binomial process, each time there is a income ( main-income), there will be a by-income; but the by-income could delay to next period for some certain probability. Under this time-correlated scenario, the relationship between the dual model and the classical risk model is studied and some important probabilities for the dual model are derived. The differential equations satisfied by the expected dividend payouts until ruin are derived, some explicit results are obtained under some specific assumptions
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 20, 2013 erstellt
Language:
English
DOI:
10.2139/ssrn.2369655
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