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Article: Randomized observation periods for the compound poisson risk model: dividends

TitleRandomized observation periods for the compound poisson risk model: dividends
Authors
KeywordsCompound poisson risk model
Erlangization
Horizontal dividend barrier strategy
Issue Date2011
PublisherPeeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST
Citation
ASTIN Bulletin, 2011, v. 41 n. 2, p. 645-672 How to Cite?
AbstractIn the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents a certain type of bridge between them which still enables the explicit calculation of moments of total discounted dividend payments until ruin. Numerical illustrations for several sets of parameters are given and the effect of random observation times on the performance of the dividend strategy is studied. © 2011 by Astin Bulletin.
Persistent Identifierhttp://hdl.handle.net/10722/144574
ISSN
2015 Impact Factor: 0.732
2015 SCImago Journal Rankings: 0.979
ISI Accession Number ID
Funding AgencyGrant Number
Swiss National Science Foundation200021-124635/1
Faculty of Science and the Department of Statistics and Actuarial Science
Seed Funding for Basic Research201103159001
University Research Committee at the University of Hong Kong
Funding Information:

The authors would like to thank an anonymous referee and Hans U. Gerber for comments that led to an improvement of the presentation of the paper. Support for Hansjorg Albrecher and Stefan Thonhauser from the Swiss National Science Foundation Project 200021-124635/1 is gratefully acknowledged. Eric C.K. Cheung acknowledges a start-up fund provided by the Faculty of Science and the Department of Statistics and Actuarial Science as well as the Seed Funding for Basic Research (Project number: 201103159001) provided by the University Research Committee at the University of Hong Kong.

References

 

DC FieldValueLanguage
dc.contributor.authorAlbrecher, Hen_HK
dc.contributor.authorCheung, ECKen_HK
dc.contributor.authorThonhauser, Sen_HK
dc.date.accessioned2012-02-03T06:14:46Z-
dc.date.available2012-02-03T06:14:46Z-
dc.date.issued2011en_HK
dc.identifier.citationASTIN Bulletin, 2011, v. 41 n. 2, p. 645-672en_HK
dc.identifier.issn0515-0361en_HK
dc.identifier.urihttp://hdl.handle.net/10722/144574-
dc.description.abstractIn the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents a certain type of bridge between them which still enables the explicit calculation of moments of total discounted dividend payments until ruin. Numerical illustrations for several sets of parameters are given and the effect of random observation times on the performance of the dividend strategy is studied. © 2011 by Astin Bulletin.en_HK
dc.languageengen_US
dc.publisherPeeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=ASTen_HK
dc.relation.ispartofASTIN Bulletinen_HK
dc.subjectCompound poisson risk modelen_HK
dc.subjectErlangizationen_HK
dc.subjectHorizontal dividend barrier strategyen_HK
dc.titleRandomized observation periods for the compound poisson risk model: dividendsen_HK
dc.typeArticleen_HK
dc.identifier.emailCheung, ECK: eckc@hku.hken_HK
dc.identifier.authorityCheung, ECK=rp01423en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.2143/AST.41.2.2136991en_HK
dc.identifier.scopuseid_2-s2.0-84855179201en_HK
dc.identifier.hkuros198224en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84855179201&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume41en_HK
dc.identifier.issue2en_HK
dc.identifier.spage645en_HK
dc.identifier.epage672en_HK
dc.identifier.isiWOS:000298221800013-
dc.publisher.placeBelgiumen_HK
dc.identifier.scopusauthoridThonhauser, S=16242707700en_HK
dc.identifier.scopusauthoridCheung, ECK=24461272100en_HK
dc.identifier.scopusauthoridAlbrecher, H=6602776321en_HK

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