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Article: The Markov Additive risk process under an Erlangized dividend barrier strategy
Title | The Markov Additive risk process under an Erlangized dividend barrier strategy |
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Authors | |
Keywords | Barrier strategy Dividends Erlangization Gerber-Shiu function Inter-dividend-decision times Markov additive process Markov renewal equation |
Issue Date | 2014 |
Publisher | Springer. 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? |
Abstract | In 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 Identifier | http://hdl.handle.net/10722/200915 |
ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 0.430 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Zhang, Z | en_US |
dc.contributor.author | Cheung, ECK | en_US |
dc.date.accessioned | 2014-08-21T07:07:09Z | - |
dc.date.available | 2014-08-21T07:07:09Z | - |
dc.date.issued | 2014 | en_US |
dc.identifier.citation | Methodology and Computing in Applied Probability, 2014 | en_US |
dc.identifier.issn | 1387-5841 | - |
dc.identifier.uri | http://hdl.handle.net/10722/200915 | - |
dc.description.abstract | In 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.language | eng | en_US |
dc.publisher | Springer. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=1387-5841 | en_US |
dc.relation.ispartof | Methodology and Computing in Applied Probability | en_US |
dc.rights | The original publication is available at www.springerlink.com | en_US |
dc.subject | Barrier strategy | - |
dc.subject | Dividends | - |
dc.subject | Erlangization | - |
dc.subject | Gerber-Shiu function | - |
dc.subject | Inter-dividend-decision times | - |
dc.subject | Markov additive process | - |
dc.subject | Markov renewal equation | - |
dc.title | The Markov Additive risk process under an Erlangized dividend barrier strategy | en_US |
dc.type | Article | en_US |
dc.identifier.email | Cheung, ECK: eckc@hku.hk | en_US |
dc.identifier.authority | Cheung, ECK=rp01423 | en_US |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1007/s11009-014-9414-7 | en_US |
dc.identifier.scopus | eid_2-s2.0-84902702378 | - |
dc.identifier.hkuros | 232070 | en_US |
dc.identifier.eissn | 1573-7713 | - |
dc.identifier.isi | WOS:000374677800001 | - |
dc.identifier.issnl | 1387-5841 | - |