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Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation

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  • Teng, Ye
  • Zhang, Zhimin

Abstract

In this paper, we use a Cox risk model to describe the surplus flow of an insurance company, where the intensity process in the Cox process is assumed to follow a general stochastic differential equation. Suppose that the insurer observes the surplus process periodically with constant observation frequency. Whenever the observed surplus level is larger than a critical level b2>0, the excess amount is paid as a lump sum of dividends; whenever the observed surplus level is between zero and another critical level b1 (0

Suggested Citation

  • Teng, Ye & Zhang, Zhimin, 2023. "Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation," Applied Mathematics and Computation, Elsevier, vol. 452(C).
    • Handle: RePEc:eee:apmaco:v:452:y:2023:i:c:s0096300323002436
    DOI: 10.1016/j.amc.2023.128074
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    References listed on IDEAS

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