Randomized Observation Periods for the Compound Poisson Risk Model: Dividends
Randomized Observation Periods for the Compound Poisson Risk Model: Dividends
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DOI：
10.2143/ast.41.2.2136991
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发表时间：
2011-11
期刊：
影响因子：
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通讯作者：
Hansjörg Albrecher;Eric C. K. Cheung;S. Thonhauser
中科院分区：
文献类型：
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作者：
Hansjörg Albrecher;Eric C. K. Cheung;S. Thonhauser
在集体风险理论中经典的复合Poisson过程的框架下，通过引入可以支付红利和可以观察破产的随机观察时间，研究了水平红利障碍策略的一种修正。该模型同时包含了连续时间和离散时间风险模型作为一个极限，并代表了它们之间的某种桥梁，仍然可以显式计算总贴现股利支付的矩，直到破产。给出了几组参数的数值算例，并研究了随机观测次数对红利策略性能的影响。
In the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents a certain type of bridge between them which still enables the explicit calculation of moments of total discounted dividend payments until ruin. Numerical illustrations for several sets of parameters are given and the effect of random observation times on the performance of the dividend strategy is studied.