Expected discounted dividends in a discrete semi-Markov risk model

• Autores: Mi Chen, Junyi Guo, Xueyuan Wu
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 266, Nº 1, 2014, págs. 1-17
• Idioma: inglés
• DOI: 10.1016/j.cam.2014.01.026
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• Resumen

  • In this paper, we consider the dividend problems for a discrete semi-Markov risk model, which assumes individual claims are influenced by a Markov chain with finite state space.

    Explicit expressions for the total expected discounted dividends until ruin are obtained in a case considered by Reinhard and Snoussi (2001, 2002). Then a more general situation is examined, in which a new method is developed to derive closed-form expressions for the total expected discounted dividends. For illustration purposes, only two-state and threestate models are examined. Finally, a numerical example is presented, which shows that the results obtained through different methods are equivalent.