The Risk Model with a Constant Dividend Barrier Affected by a Threshold Value
Asian Journal of Probability and Statistics · pp. 28–41 · Published 30 Aug 2022
10.9734/ajpas/2022/v19i330471Abstract
This paper considers a new risk model with a constant dividend barrier, which the claim amount affected by a threshold value. The hypothesis of the model is presented and the integro-differential equation for the Gerber-Shiu penalty function is given. Then the linear solution of the Gerber-Shiu discounted penalty function is figured out. The paper also derives the integro-differential equation and the linear solution of the expected discounted dividend payments. An example is given too.
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