Finite-time dividend problems in a Lévy risk model under periodic observation

Jiayi Xie and Zhimin Zhang

Applied Mathematics and Computation, 2021, vol. 398, issue C

Abstract: In this paper, we use a Lévy process to model the surplus flow of an insurance company. It is assumed that the surplus level is observed at a sequence of fixed times and dividend decisions are made at each observation time. If the observed surplus level is larger than a given barrier, then the excess amount would be paid off as a lump sum of dividends. Further, we assume that ruin is declared as soon as the observed surplus level is negative. Using the Fourier cosine series expansion method, we propose some numerical methods for computing the finite-time expected discounted dividend payments before ruin and the finite-time expected discounted penalty function. Both error analysis and numerical examples are given to show accuracy and efficiency of our method.

Keywords: Lévy risk model; COS; Finite-time dividend payments; Finite-time expected discounted penalty function (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0096300321000291
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:398:y:2021:i:c:s0096300321000291

DOI: 10.1016/j.amc.2021.125981

Access Statistics for this article

Applied Mathematics and Computation is currently edited by Theodore Simos

More articles in Applied Mathematics and Computation from Elsevier
Bibliographic data for series maintained by Catherine Liu ().