publication . Article . 2008

Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches

Eric C.K. Cheung; Steve Drekic;
Open Access
  • Published: 12 Dec 2008 Journal: ASTIN Bulletin, volume 38, pages 399-422 (issn: 0515-0361, eissn: 1783-1350, Copyright policy)
  • Publisher: Cambridge University Press (CUP)
Abstract
<jats:p>In the classical compound Poisson risk model, it is assumed that a company (typically an insurance company) receives premium at a constant rate and pays incurred claims until ruin occurs. In contrast, for certain companies (typically those focusing on invention), it might be more appropriate to assume expenses are paid at a fixed rate and occasional random income is earned. In such cases, the surplus process of the company can be modelled as a dual of the classical compound Poisson model, as described in Avanzi et al. (2007). Assuming further that a barrier strategy is applied to such a model (i.e., any overshoot beyond a fixed level caused by an upward ...
Subjects
arXiv: Mathematics::Optimization and Control
free text keywords: Economics and Econometrics, Accounting, Finance, Financial economics, Ruin theory, Poisson distribution, symbols.namesake, symbols, Expected value, Present value, Overshoot (signal), Jump, Dividend, Economics, Laplace transform, Mathematical economics
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publication . Article . 2008

Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches

Eric C.K. Cheung; Steve Drekic;