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

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Etat: Serval
Version: de l'auteur
ID Serval
serval:BIB_471D4809EE79
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times
Périodique
Insurance: Mathematics and Economics
Auteur(s)
Albrecher H., Claramunt M., Marmol M.
ISSN
0167-6687
Statut éditorial
Publié
Date de publication
2005
Peer-reviewed
Oui
Volume
37
Numéro
2
Pages
324-334
Langue
anglais
Résumé
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.
Mots-clé
Renewal risk model, Dividend barrier, Present value of dividend payments, Moment-generating function
Web of science
Création de la notice
12/05/2009 11:36
Dernière modification de la notice
03/03/2018 16:49
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