On a Dual Model with Multi-Layer Dividend Strategy under Stochastic Interest
Keyword(s):
In insurance mathematics, a compound Poisson model is often used to describe the aggregate claims of the surplus process. In this paper, we consider the dual model of the compound Poisson model with multi-layer dividend strategy under stochastic interest. We derive a set of integro-differential equations satisfied by the expected total discounted dividends until ruin. The cases where profits follow an exponential distributions are solved.
1978 ◽
Vol 73
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pp. 706-713
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2005 ◽
Vol 42
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pp. 608-619
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2004 ◽
Vol 18
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pp. 55-70
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2014 ◽
Vol 59
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pp. 325-336
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pp. 1767-1784
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Vol 38
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pp. 298-308
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