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On a discrete interaction risk model with delayed claims and randomized dividends

Author

Listed:
  • Juan Liu
  • Ya Huang
  • Xuyan Xiang
  • Jieming Zhou

Abstract

In this paper, we study a discrete interaction risk model with delayed claims and randomized dividends payable at a non-negative threshold level. The recursive formula and the defective renewal equation for the Gerber-Shiu discounted penalty function are derived. Furthermore, the explicit expression for the discount-free Gerber-Shiu function is obtained. As an application, the joint distributions of the surplus immediately prior to ruin and the deficit at ruin and numerical illustration from a specific example are presented.

Suggested Citation

  • Juan Liu & Ya Huang & Xuyan Xiang & Jieming Zhou, 2022. "On a discrete interaction risk model with delayed claims and randomized dividends," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(15), pages 5241-5257, June.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:15:p:5241-5257
    DOI: 10.1080/03610926.2020.1836221
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