On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times

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Serval ID
serval:BIB_471D4809EE79
Type
Article: article from journal or magazin.
Collection
Publications
Title
On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times
Journal
Insurance: Mathematics and Economics
Author(s)
Albrecher H., Claramunt M., Marmol M.
ISSN
0167-6687
Publication state
Published
Issued date
2005
Peer-reviewed
Oui
Volume
37
Number
2
Pages
324-334
Language
english
Abstract
In this paper, we present some results on the distribution of dividend payments until ruin under a Sparre Andersen risk model with generalized Erlang(n)-distributed inter-claim times and a constant dividend barrier. An integro-differential equation for the moment-generating function of the sum of the discounted dividend payments until ruin is derived. Moreover, explicit solutions for arbitrary moments of the present value of dividend payments are obtained, when the individual claim amounts have a distribution with rational Laplace transform. Numerical illustrations of the results are given for an Erlang(2) risk model and Erlang(2)-distributed claim amounts.
Keywords
Renewal risk model, Dividend barrier, Present value of dividend payments, Moment-generating function
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12/05/2009 11:36
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20/08/2019 14:53
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