On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends

Kam Pui Wat, Kam Chuen Yuen, Wai Keung Li and Xueyuan Wu
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Kam Pui Wat: Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam, Hong Kong, China
Kam Chuen Yuen: Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam, Hong Kong, China
Wai Keung Li: Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam, Hong Kong, China
Xueyuan Wu: Department of Economics, The University of Melbourne, Melbourne, VIC 3010, Australia

Risks, 2018, vol. 6, issue 1, 1-13

Abstract: This paper extends the work of Yuen et al. (2013), who obtained explicit results for the discount-free Gerber–Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero threshold level. Specifically, we establish a recursion method for computing the Gerber–Shiu expected discounted penalty function, which entails a number of important quantities in ruin theory, within the framework of the compound binomial aggregate claims with delayed by-claims and randomized dividends payable at a non-negative threshold level.

Keywords: compound binomial risk model; delayed claims; Gerber–Shiu function; randomized dividends (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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