Randomized Dividends in a Discrete Insurance Risk Model with Stochastic Premium Income

Wenguang Yu

Mathematical Problems in Engineering, 2013, vol. 2013, 1-9

Abstract:

The compound binomial insurance risk model is extended to the case where the premium income process, based on a binomial process, is no longer a constant premium rate of 1 per period and insurer pays a dividend of 1 with a probability when the surplus is greater than or equal to a nonnegative integer . The recursion formulas for expected discounted penalty function are derived. As applications, we present the recursion formulas for the ruin probability, the probability function of the surplus prior to the ruin time, and the severity of ruin. Finally, numerical example is also given to illustrate the effect of the related parameters on the ruin probability.

Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:579534

DOI: 10.1155/2013/579534

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