Ruin-related problems in the dual risk model under two different randomized observations

Yingchun Deng, Kang Hu, Ya Huang, Hui Ou and Jieming Zhou

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 17, 6241-6265

Abstract: In this article, the dual risk model with two-sided jumps and two different randomized observations is considered. The dividend observation and ruin observation are supervised by two departments respectively. While in practice, the financial position of a company is usually monitored frequently, dividend decisions are only made periodically along with the publication of its books. So there are two situations. First, dividend observation and ruin observation are independent of each other, under this circumstance, we researched the integral-differential equation of the expected discounted dividend function until ruin. Second, dividend decision time is a multiple of ruin observation time. We deduced the expected discounted dividend function until ruin. Moreover, numerical analyses are provided to illustrate our results.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2022.2027450 (text/html)
Access to full text is restricted to subscribers.

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:taf:lstaxx:v:52:y:2023:i:17:p:6241-6265

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2022.2027450

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().