On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy |
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Authors: | Jie-Hua Xie |
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Institution: | School of Economics and Trade, Nanchang Institute of Technology, Nanchang, P.R. China |
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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. |
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Keywords: | Compound Poisson risk model Dependence Expected discounted penalty function Farlie–Gumbel–Morgenstern copula Multi-layer dividend strategy |
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