On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
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DOI：
10.1080/03461230510006946
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发表时间：
2005-04
影响因子：
1.8
通讯作者：
Hansjörg Albrecher *;J. Hartinger;R. Tichy
中科院分区：
文献类型：
--
作者：
Hansjörg Albrecher *;J. Hartinger;R. Tichy
在经典风险理论的框架下，我们研究了一个模型，该模型允许根据时间依赖的线性障碍策略支付红利。导出了Gerber和Shiu的罚金折现函数和股利支付折现和的矩母函数的偏积分-微分方程组，推广了最近的几个结果。对于指数分布的索赔额，得到了股利支付贴现和的n阶矩以及破产时间和破产前盈余的联合拉普拉斯变换的显式表达式。
In the framework of classical risk theory we investigate a model that allows for dividend payments according to a time-dependent linear barrier strategy. Partial integro-differential equations for Gerber and Shiu's discounted penalty function and for the moment generating function of the discounted sum of dividend payments are derived, which generalizes several recent results. Explicit expressions for the nth moment of the discounted sum of dividend payments and for the joint Laplace transform of the time to ruin and the surplus prior to ruin are derived for exponentially distributed claim amounts.