Optimal Parisian-Type Dividend Payments Penalized by the Number of Claims for the Classical and Perturbed Classical Risk Process

• Autorzy: Czarna Irmina , Li Yanhong , Palmowski Zbigniew , Zhao Chunming

Identyfikatory

DOI

10.37190/0208-4147.40.1.4

• Języki publikacji: EN

Abstrakty

EN

We consider the classical risk process (the case σ = 0) and the classical risk process perturbed by a Brownian motion (the case σ > 0). We analyze the expected NPV describing the mean of the cumulative discounted dividend payments paid up to the Parisian or classical ruin time and further penalized by the number of claims that appeared up to that time. We identify this function for a constant barrier strategy and we find sufficient conditions for this strategy to be optimal. We also analyze a numerical example of exponential claim sizes.

Słowa kluczowe

EN

classical risk model; diffusion process; number of claims; Parisian ruin; dividend

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2020
• Tom: Vol. 40, Fasc. 1
• Strony: 57--81
• Opis fizyczny: Bibliogr. 29 poz., wykr.

Twórcy

autor

Czarna Irmina

• Faculty of Pure and Applied Mathematics, Wrocław University of Science and Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

autor

Li Yanhong

• Sichuan University, Sichuan, 610065, P.R. China

autor

Palmowski Zbigniew

• Faculty of Pure and Applied Mathematics, Wrocław University of Science and Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

autor

Zhao Chunming

• Jiaotong University, Sichuan, 611756, P.R. China

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2020).