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Randomized Dividends in a Discrete Insurance Risk Model with Stochastic Premium Income

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  • Wenguang Yu

Abstract

The compound binomial insurance risk model is extended to the case where the premium income process, based on a binomial process, is no longer a constant premium rate of 1 per period and insurer pays a dividend of 1 with a probability when the surplus is greater than or equal to a nonnegative integer . The recursion formulas for expected discounted penalty function are derived. As applications, we present the recursion formulas for the ruin probability, the probability function of the surplus prior to the ruin time, and the severity of ruin. Finally, numerical example is also given to illustrate the effect of the related parameters on the ruin probability.

Suggested Citation

  • Wenguang Yu, 2013. "Randomized Dividends in a Discrete Insurance Risk Model with Stochastic Premium Income," Mathematical Problems in Engineering, Hindawi, vol. 2013, pages 1-9, March.
    • Handle: RePEc:hin:jnlmpe:579534
    DOI: 10.1155/2013/579534
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    Cited by:

    1. Yunyun Wang & Wenguang Yu & Yujuan Huang & Xinliang Yu & Hongli Fan, 2019. "Estimating the Expected Discounted Penalty Function in a Compound Poisson Insurance Risk Model with Mixed Premium Income," Mathematics, MDPI, vol. 7(3), pages 1-25, March.
    2. 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.

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