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Article: On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions
Title | On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions |
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Authors | |
Keywords | Barrier strategy Compound Poisson risk model Dividend decisions Erlangization Randomized observations |
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 semi-annually. 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 | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Choi, MCH | - |
dc.contributor.author | Cheung, ECK | - |
dc.date.accessioned | 2015-08-21T11:38:14Z | - |
dc.date.available | 2015-08-21T11:38:14Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Insurance: Mathematics and Economics, 2014, v. 59, p. 121–132 | - |
dc.identifier.issn | 0167-6687 | - |
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 semi-annually. 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.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Barrier strategy | - |
dc.subject | Compound Poisson risk model | - |
dc.subject | Dividend decisions | - |
dc.subject | Erlangization | - |
dc.subject | Randomized observations | - |
dc.title | On the expected discounted dividends in the Cramér-Lundberg 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.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.insmatheco.2014.08.009 | - |
dc.identifier.scopus | eid_2-s2.0-84907858950 | - |
dc.identifier.hkuros | 246122 | - |
dc.identifier.volume | 59 | - |
dc.identifier.spage | 121 | - |
dc.identifier.epage | 132 | - |
dc.identifier.isi | WOS:000347501100012 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 0167-6687 | - |