A risk model with paying dividends and random environment
- Authors
- Kim, Bara; Kim, Hwa-Sung; Kim, Jeongsim
- Issue Date
- 4월-2008
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- ruin probability; dividend; environment process; deficit distribution; QBD (quasi-birth-and-death) process; phase-type distribution
- Citation
- INSURANCE MATHEMATICS & ECONOMICS, v.42, no.2, pp.717 - 726
- Indexed
- SCIE
SCOPUS
- Journal Title
- INSURANCE MATHEMATICS & ECONOMICS
- Volume
- 42
- Number
- 2
- Start Page
- 717
- End Page
- 726
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/123856
- DOI
- 10.1016/j.insmatheco.2007.08.001
- ISSN
- 0167-6687
- Abstract
- We consider a discrete time risk model where dividends are paid to insureds and the claim size has a discrete phase-type distribution, but the claim sizes vary according to an underlying Markov process called an environment process. In addition, the probability of paying the next dividend is affected by the current state of the underlying Markov process. We provide explicit expressions for the ruin probability and the deficit distribution at ruin by extracting a QBD (quasi-birth-and-death) structure in the model and then analyzing the QBD process. Numerical examples are also given. (c) 2007 Elsevier B.V. All rights reserved.
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