A Model about Insurer with Dividend and Irregularly Checking Surplus
JIN Fang, MO XiaoYun, YANG XiangQun
College of Mathematics and Computing Science, Hunan City University; College of Mathematics and Statistics, Hunan University of Finance and Economics; College of Mathematics and Computational Science, Hunan University of Arts and Science
A Markov observation model with dividend is defined and the interpretation of the practical significance is given. We try to use an irreducible and homogeneous discrete-time Markov chain to modulate the inter-observation times and embed a dividend strategy. In the Markov observation model with dividend, a system of liner equations for the expected discounted value of dividends until ruin time is derived. Moreover, an explicit expression is obtained and proved. Finally, some interesting properties are illustrated by numerical analysis and by comparing with the complete compound binomial model with dividend.
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JIN Fang, MO XiaoYun, YANG XiangQun. A Model about Insurer with Dividend and Irregularly Checking Surplus. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2017, 34(2): 125-138.