On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy

Jie-Hua Xie and Wei Zou

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 4, 1898-1915

Abstract: In this article, we consider a dependent risk model in the presence of a multi-laydividend strategy. We construct the dependence structure between the claim size and interclaim time by a Farlie–Gumbel–Morgenstern copula. A piecewise integro-differential equations for the expected discounted penalty function with boundary conditions are established. A renewal equation satisfied by the expected discounted penalty function is obtained via the translation operator. Then, we provide a recursive approach to derive the analytical solution of the expected discounted penalty function. Finally, a numerical example is presented to illustrate the solution procedure.

Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:46:y:2017:i:4:p:1898-1915

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DOI: 10.1080/03610926.2015.1030424

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