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On a discrete-time risk model with time-dependent claims and impulsive dividend payments

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  • Lianzeng Zhang
  • He Liu

Abstract

A discrete-time risk model with a mathematically tractable dependence structure between interclaim times and claim sizes is considered in the presence of an impulsive dividend strategy. Under such a strategy, once the insurer's reserve upcrosses the level b, the excess of the reserve over $a~(a\leq b) $a (a≤b) is paid off as dividends. We derive difference equations for both the expected discounted penalty function and the expected present value of dividend payments. Solution procedures for these difference equations are provided. When the joint distribution of the interclaim time and claim size is a finite mixture of bivariate geometric distributions, closed-form expressions are given. Numerical results for several sets of parameters are also provided to illustrate the applicability of the results obtained.

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  • Lianzeng Zhang & He Liu, 2020. "On a discrete-time risk model with time-dependent claims and impulsive dividend payments," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2020(8), pages 736-753, September.
    • Handle: RePEc:taf:sactxx:v:2020:y:2020:i:8:p:736-753
    DOI: 10.1080/03461238.2020.1726808
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