File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
 Publisher Website: 10.1016/j.insmatheco.2014.08.009
 Find via
Supplementary

Citations:
 Appears in Collections:
Article: On the expected discounted dividends in the CramérLundberg risk model with more frequent ruin monitoring than dividend decisions
Title  On the expected discounted dividends in the CramérLundberg risk model with more frequent ruin monitoring than dividend decisions 

Authors  
Issue Date  2014 
Publisher  Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime 
Citation  Insurance: Mathematics and Economics, 2014, v. 59, p. 121–132 How to Cite? 
Abstract  In this paper, we further extend the insurance risk model in Albrecher et al. (2011b), who proposed to only intervene in the compound Poisson risk process at the discrete time points ${L_k}_{k=0}^infty$ where the event of ruin is checked and dividend decisions are made. In practice, an insurance company typically balances its books (and monitors its solvency) more frequently than deciding on dividend payments. This motivates us to propose a generalization in which ruin is monitored at ${L_k}_{k=0}^infty$ whereas dividend decisions are only made at ${L_{jk}}_{k=0}^infty$ for some positive integer $j$. Assuming that the intervals between the time points ${L_k}_{k=0}^infty$ are Erlang($n$) distributed, the Erlangization technique (e.g. Asmussen et al. (2002)) allows us to model the more realistic situation with the books balanced e.g. monthly and dividend decisions made e.g. quarterly or semiannually. Under a dividend barrier strategy with the above randomized interventions, we derive the expected discounted dividends paid until ruin. Numerical examples about dividend maximization with respect to the barrier $b$ and/or the value of $j$ are given. 
Persistent Identifier  http://hdl.handle.net/10722/214570 
ISSN  2015 Impact Factor: 1.378 2015 SCImago Journal Rankings: 1.000 
DC Field  Value  Language 

dc.contributor.author  Choi, MCH   
dc.contributor.author  Cheung, ECK   
dc.date.accessioned  20150821T11:38:14Z   
dc.date.available  20150821T11:38:14Z   
dc.date.issued  2014   
dc.identifier.citation  Insurance: Mathematics and Economics, 2014, v. 59, p. 121–132   
dc.identifier.issn  01676687   
dc.identifier.uri  http://hdl.handle.net/10722/214570   
dc.description.abstract  In this paper, we further extend the insurance risk model in Albrecher et al. (2011b), who proposed to only intervene in the compound Poisson risk process at the discrete time points ${L_k}_{k=0}^infty$ where the event of ruin is checked and dividend decisions are made. In practice, an insurance company typically balances its books (and monitors its solvency) more frequently than deciding on dividend payments. This motivates us to propose a generalization in which ruin is monitored at ${L_k}_{k=0}^infty$ whereas dividend decisions are only made at ${L_{jk}}_{k=0}^infty$ for some positive integer $j$. Assuming that the intervals between the time points ${L_k}_{k=0}^infty$ are Erlang($n$) distributed, the Erlangization technique (e.g. Asmussen et al. (2002)) allows us to model the more realistic situation with the books balanced e.g. monthly and dividend decisions made e.g. quarterly or semiannually. Under a dividend barrier strategy with the above randomized interventions, we derive the expected discounted dividends paid until ruin. Numerical examples about dividend maximization with respect to the barrier $b$ and/or the value of $j$ are given.   
dc.language  eng   
dc.publisher  Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime   
dc.relation.ispartof  Insurance: Mathematics and Economics   
dc.title  On the expected discounted dividends in the CramérLundberg risk model with more frequent ruin monitoring than dividend decisions   
dc.type  Article   
dc.identifier.email  Cheung, ECK: eckc@hku.hk   
dc.identifier.authority  Cheung, ECK=rp01423   
dc.identifier.doi  10.1016/j.insmatheco.2014.08.009   
dc.identifier.hkuros  246122   
dc.identifier.volume  59   
dc.identifier.spage  121   
dc.identifier.epage  132   
dc.publisher.place  Netherlands   