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Omega Model for a Jump-Diffusion Process with a Two-Step Premium Rate and a Threshold Dividend Strategy

Author

Listed:
  • Zhongqin Gao

    (Tianjin University of Technology)

  • Jingmin He

    (Tianjin University of Technology)

  • Zhifeng Zhao

    (Sinosoft Company Limited)

  • Bingbing Wang

    (Tianjin University of Technology)

Abstract

In this paper, a jump-diffusion Omega model with a two-step premium rate and a threshold dividend strategy is studied. For this model, the surplus process is a perturbation of a compound Poisson process by a Brownian motion. Firstly, using the strong Markov property, the integro-differential equations for the expected discounted dividend payments function, the Gerber-Shiu expected discounted penalty function and bankruptcy probability are derived. Secondly, for a constant bankruptcy rate function, the renewal equations satisfied by the expected discounted dividend payments function and the Gerber-Shiu expected discounted penalty function are obtained, respectively, and by iteration, their closed-form solutions are also given. Furthermore, the explicit solutions of the two kinds of functions are obtained when the individual claim size is subject to exponential distribution. Finally, a numerical example is presented to illustrate some properties of the Omega model.

Suggested Citation

  • Zhongqin Gao & Jingmin He & Zhifeng Zhao & Bingbing Wang, 2022. "Omega Model for a Jump-Diffusion Process with a Two-Step Premium Rate and a Threshold Dividend Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 233-258, March.
    • Handle: RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-020-09844-4
    DOI: 10.1007/s11009-020-09844-4
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    References listed on IDEAS

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    1. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
    2. Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007. "The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January.
    3. Wan, Ning, 2007. "Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 509-523, May.
    4. Landriault, David, 2008. "Constant dividend barrier in a risk model with interclaim-dependent claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 31-38, February.
    5. Dufresne, Francois & Gerber, Hans U., 1991. "Risk theory for the compound Poisson process that is perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 51-59, March.
    6. Wei Wang, 2015. "The Perturbed Sparre Andersen Model with Interest and a Threshold Dividend Strategy," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 251-283, June.
    7. Albrecher, Hansjörg & Lautscham, Volkmar, 2013. "From Ruin To Bankruptcy For Compound Poisson Surplus Processes," ASTIN Bulletin, Cambridge University Press, vol. 43(2), pages 213-243, May.
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    Cited by:

    1. He, Yue & Kawai, Reiichiro & Shimizu, Yasutaka & Yamazaki, Kazutoshi, 2023. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 1-28.
    2. Yue He & Reiichiro Kawai & Yasutaka Shimizu & Kazutoshi Yamazaki, 2022. "The Gerber-Shiu discounted penalty function: A review from practical perspectives," Papers 2203.10680, arXiv.org, revised Dec 2022.

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