Randomized dividends in a discrete risk model with time-correlated claims. (Chinese. English summary) Zbl 1513.62213
Summary: In this paper, the compound binomial risk model is extended by involving the random premium income with time-correlated claims and random dividend strategy. By the method of generating function, the difference equation and its solution for the expected cumulated discounted dividends until ruin are obtained. Finally, the effect of related parameters on the total expected discounted dividends are shown in several numerical examples.
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 91B05 | Risk models (general) |
Keywords:
expected cumulated discounted dividends; time-correlated claims; stochastic premium income; randomized dividend policyReferences:
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