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On the Dividend Problem in a Risk Model with Delayed Claims

  • Wei Zou
  • Jie-hua Xie
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 7030)

Abstract

In this paper, a discrete time risk model with dividend payments is considered, in which the occurrences of the claims may be delayed. A system of differential equations with certain boundary conditions for the expected present value of dividend payments prior to ruin is derived and solved. Moreover, the closed form expressions are given when the claim size distributions belong to the rational family. The qualitative properties of ruin probabilities for this risk model are also obtained. Numerical results are provided to illustrate the applicability of the main result.

Keywords

Discrete time risk model Delayed claim Dividend 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  • Wei Zou
    • 1
  • Jie-hua Xie
    • 1
  1. 1.Department of ScienceNanChang Institute of TechnologyNanChangP.R. China

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