File Download
  Links for fulltext
     (May Require Subscription)
Supplementary

Article: The Markov Additive risk process under an Erlangized dividend barrier strategy

TitleThe Markov Additive risk process under an Erlangized dividend barrier strategy
Authors
Issue Date2014
PublisherSpringer. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841
Citation
Methodology and Computing in Applied Probability, 2014 How to Cite?
AbstractIn this paper, we consider a Markov additive insurance risk process under a randomized dividend strategy in the spirit of Albrecher et al. (2011). Decisions on whether to pay dividends are only made at a sequence of dividend decision time points whose intervals are Erlang($n$) distributed. At a dividend decision time, if the surplus level is larger than a predetermined dividend barrier, then the excess is paid as a dividend as long as ruin has not occurred. In contrast to Albrecher et al. (2011), it is assumed that the event of ruin is monitored continuously (Avanzi et al. (2013) and Zhang (2014)), i.e. the surplus process is stopped immediately once it drops below zero. The quantities of our interest include the Gerber-Shiu expected discounted penalty function and the expected present value of dividends paid until ruin. Solutions are derived with the use of Markov renewal equations. Numerical examples are given, and the optimal dividend barrier is identified in some cases.
Persistent Identifierhttp://hdl.handle.net/10722/200915

 

DC FieldValueLanguage
dc.contributor.authorZhang, Zen_US
dc.contributor.authorCheung, ECKen_US
dc.date.accessioned2014-08-21T07:07:09Z-
dc.date.available2014-08-21T07:07:09Z-
dc.date.issued2014en_US
dc.identifier.citationMethodology and Computing in Applied Probability, 2014en_US
dc.identifier.urihttp://hdl.handle.net/10722/200915-
dc.description.abstractIn this paper, we consider a Markov additive insurance risk process under a randomized dividend strategy in the spirit of Albrecher et al. (2011). Decisions on whether to pay dividends are only made at a sequence of dividend decision time points whose intervals are Erlang($n$) distributed. At a dividend decision time, if the surplus level is larger than a predetermined dividend barrier, then the excess is paid as a dividend as long as ruin has not occurred. In contrast to Albrecher et al. (2011), it is assumed that the event of ruin is monitored continuously (Avanzi et al. (2013) and Zhang (2014)), i.e. the surplus process is stopped immediately once it drops below zero. The quantities of our interest include the Gerber-Shiu expected discounted penalty function and the expected present value of dividends paid until ruin. Solutions are derived with the use of Markov renewal equations. Numerical examples are given, and the optimal dividend barrier is identified in some cases.en_US
dc.languageengen_US
dc.publisherSpringer. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841en_US
dc.relation.ispartofMethodology and Computing in Applied Probabilityen_US
dc.rightsThe original publication is available at www.springerlink.comen_US
dc.titleThe Markov Additive risk process under an Erlangized dividend barrier strategyen_US
dc.typeArticleen_US
dc.identifier.emailCheung, ECK: eckc@hku.hken_US
dc.identifier.authorityCheung, ECK=rp01423en_US
dc.description.naturepostprint-
dc.identifier.doi10.1007/s11009-014-9414-7en_US
dc.identifier.hkuros232070en_US

Export via OAI-PMH Interface in XML Formats


OR


Export to Other Non-XML Formats