DOAJ Open Access 2019

The risk model with stochastic premiums and a multi-layer dividend strategy

Olena Ragulina

Abstrak

The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber–Shiu function and the expected discounted dividend payments until ruin. In addition, we concentrate on the detailed investigation of the model in the case of exponentially distributed claim and premium sizes and find explicit formulas for the ruin probability as well as for the expected discounted dividend payments. Lastly, numerical illustrations for some multi-layer dividend strategies are presented.

Topik & Kata Kunci

Applied mathematics. Quantitative methods Mathematics

Penulis (1)

Olena Ragulina

Format Sitasi

APA MLA BibTeX

Ragulina, O. (2019). The risk model with stochastic premiums and a multi-layer dividend strategy. https://doi.org/10.15559/19-VMSTA136

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Informasi Jurnal

Tahun Terbit: 2019
Sumber Database: DOAJ
DOI: 10.15559/19-VMSTA136
Akses: Open Access ✓