Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation

Ye Teng and Zhimin Zhang

Applied Mathematics and Computation, 2023, vol. 452, issue C

Abstract: In this paper, we use a Cox risk model to describe the surplus flow of an insurance company, where the intensity process in the Cox process is assumed to follow a general stochastic differential equation. Suppose that the insurer observes the surplus process periodically with constant observation frequency. Whenever the observed surplus level is larger than a critical level b2>0, the excess amount is paid as a lump sum of dividends; whenever the observed surplus level is between zero and another critical level b1 (0Keywords: Cox process; Fourier cosine expansion; Capital injection; Dividend (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:452:y:2023:i:c:s0096300323002436

DOI: 10.1016/j.amc.2023.128074

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