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On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model

Author

Listed:
  • Wenguang Yu

    (School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China)

  • Peng Guo

    (College of Mathematics and Statistics, Chongqing University, Chongqing 401331, China)

  • Qi Wang

    (School of Mathematic and Quantitative Economics, Shandong University of Finance and Economics, Jinan 250014, China)

  • Guofeng Guan

    (School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China)

  • Qing Yang

    (School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China)

  • Yujuan Huang

    (School of Science, Shandong Jiaotong University, Jinan 250357, China)

  • Xinliang Yu

    (School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China)

  • Boyi Jin

    (School of Insurance, Shandong University of Finance and Economics, Jinan 250014, China)

  • Chaoran Cui

    (School of Computer Science & Technology, Shandong University of Finance and Economics, Jinan 250014, China)

Abstract

In this paper, we assume that the reserve level of an insurance company can only be observed at discrete time points, then a new risk model is proposed by introducing a periodic capital injection strategy and a barrier dividend strategy into the classical risk model. We derive the equations and the boundary conditions satisfied by the Gerber-Shiu function, the expected discounted capital injection function and the expected discounted dividend function by assuming that the observation interval and claim amount are exponentially distributed, respectively. Numerical examples are also given to further analyze the influence of relevant parameters on the actuarial function of the risk model.

Suggested Citation

  • Wenguang Yu & Peng Guo & Qi Wang & Guofeng Guan & Qing Yang & Yujuan Huang & Xinliang Yu & Boyi Jin & Chaoran Cui, 2020. "On a Periodic Capital Injection and Barrier Dividend Strategy in the Compound Poisson Risk Model," Mathematics, MDPI, vol. 8(4), pages 1-21, April.
    • Handle: RePEc:gam:jmathe:v:8:y:2020:i:4:p:511-:d:340681
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    References listed on IDEAS

    as
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