Economics - Research Publications

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Author: Li, Shuanming × End date: 2009 × Subject: By-claim ×

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    On a discrete time risk model with delayed claimsand a constant dividend barrier
    WU, XUEYUAN ; LI, SHUANMING ( 2006)
    In this paper a compound binomial risk model with a constant dividend barrier isconsidered. Two types of individual claims, main claims and by-claims, are de¯ned,where by-claims are produced by the main claims and may be delayed for one timeperiod with a certain probability. Some prior work on these time-correlated claimshas been done by Yuen and Guo (2001) and the references therein. Formulae for theexpected present value of dividend payments up to the time of ruin are obtained fordiscrete-type individual claims, together with some other results of interest. Explicitexpressions for the corresponding results are derived in a special case, for which acomparison is also made to the original discrete model of De Finetti (1957).