The risk model with stochastic premiums, dependence and a threshold dividend strategy

DOI10.15559/17-VMSTA89zbMATH Open1410.91284arXiv1801.01006MaRDI QIDQ1697201FDOQ1697201

O. Yu. Ragulina

Publication date: 15 February 2018

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: The paper deals with a generalization of the risk model with stochastic premiums where dependence structures between claim sizes and inter-claim times as well as premium sizes and inter-premium times are modeled by Farlie--Gumbel--Morgenstern copulas. In addition, dividends are paid to its shareholders according to a threshold dividend strategy. We derive integral and integro-differential equations for the Gerber--Shiu function and the expected discounted dividend payments until ruin. Next, we concentrate on the detailed investigation of the model in the case of exponentially distributed claim and premium sizes. In particular, we find explicit formulas for the ruin probability in the model without either dividend payments or dependence as well as for the expected discounted dividend payments in the model without dependence. Finally, numerical illustrations are presented.

Full work available at URL: https://arxiv.org/abs/1801.01006

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zbMATH Keywords

ruin probabilityintegro-differential equationGerber-Shiu functionthreshold strategyFarlie-Gumbel-Morgenstern copulaexpected discounted dividend paymentsrisk model with stochastic premiums

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05) Integro-partial differential equations (35R09)

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Cited In (9)

• On a risk model with stochastic premiums income and dependence between income and loss
• Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy
• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• Title not available (Why is that?)
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