Dividend problems in the dual risk model

Lourdes B. Afonso, Rui M.R. Cardoso and Alfredo Egidio dos Reis

Insurance: Mathematics and Economics, 2013, vol. 53, issue 3, 906-918

Abstract: We consider the compound Poisson dual risk model, dual to the well known classical risk model for insurance applications, where premiums are regarded as costs and claims are viewed as profits. The surplus can be interpreted as a venture capital like the capital of an economic activity involved in research and development. Like most authors, we consider an upper dividend barrier so that we model the gains of the capital and its return to the capital holders.

Keywords: Dual risk model; Classical risk model; Ruin probabilities; Dividend probabilities; Discounted dividends; Dividend amounts; Number of dividends (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:3:p:906-918

DOI: 10.1016/j.insmatheco.2013.10.003

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