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Ruin-related problems in the dual risk model under two different randomized observations

Author

Listed:
  • Yingchun Deng
  • Kang Hu
  • Ya Huang
  • Hui Ou
  • Jieming Zhou

Abstract

In this article, the dual risk model with two-sided jumps and two different randomized observations is considered. The dividend observation and ruin observation are supervised by two departments respectively. While in practice, the financial position of a company is usually monitored frequently, dividend decisions are only made periodically along with the publication of its books. So there are two situations. First, dividend observation and ruin observation are independent of each other, under this circumstance, we researched the integral-differential equation of the expected discounted dividend function until ruin. Second, dividend decision time is a multiple of ruin observation time. We deduced the expected discounted dividend function until ruin. Moreover, numerical analyses are provided to illustrate our results.

Suggested Citation

  • Yingchun Deng & Kang Hu & Ya Huang & Hui Ou & Jieming Zhou, 2023. "Ruin-related problems in the dual risk model under two different randomized observations," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(17), pages 6241-6265, September.
    • Handle: RePEc:taf:lstaxx:v:52:y:2023:i:17:p:6241-6265
    DOI: 10.1080/03610926.2022.2027450
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