On the compound binomial risk model with delayed claims and randomized dividends

Kam Pui WAT, Kam Chuen YUEN, Wai Keung LI, Xueyuan WU

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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. Copyright © 2018 by the authors.
Original languageEnglish
Article number6
JournalRisks
Volume6
Issue number1
DOIs
Publication statusPublished - Jan 2018

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Citation

Wat, K. P., Yuen, K. C., Li, W. K., & Wu, X. (2018). On the compound binomial risk model with delayed claims and randomized dividends. Risks, 6(1). Retrieved from https://doi.org/10.3390/risks6010006

Keywords

  • Compound binomial risk model
  • Delayed claims
  • Gerber–Shiu function
  • Randomized dividends