On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model

Autor:	Wenguang Yu, Peng Guo, Qi Wang, Guofeng Guan, Qing Yang, Yujuan Huang, Xinliang Yu, Boyi Jin, Chaoran Cui
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	compound Poisson risk model periodic capital injection strategy periodic barrier dividend strategy Gerber-Shiu function expected discounted dividend function expected discounted capital injection function Mathematics QA1-939
Zdroj:	Mathematics, Vol 8, Iss 4, p 511 (2020)
Druh dokumentu:	article
ISSN:	2227-7390
DOI:	10.3390/math8040511
Popis:	In this paper, we assume that the reserve level of an insurance company can only be observed at discrete time points, then a new risk model is proposed by introducing a periodic capital injection strategy and a barrier dividend strategy into the classical risk model. We derive the equations and the boundary conditions satisfied by the Gerber-Shiu function, the expected discounted capital injection function and the expected discounted dividend function by assuming that the observation interval and claim amount are exponentially distributed, respectively. Numerical examples are also given to further analyze the influence of relevant parameters on the actuarial function of the risk model.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/fea5b1d4302b49bab8ce7da10dfb8c6a Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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