JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2015, Vol. 50 ›› Issue (06): 7-12.doi: 10.6040/j.issn.1671-9352.0.2014.484

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Dividend problems in a Sparre-Andersen model with PH(n) interclaim times

LIU Xiao   

  1. School of Mathematics and Computer Science, Anhui Normal University, Wuhu 241003, Anhui, China
  • Received:2014-10-30 Revised:2015-03-26 Online:2015-06-20 Published:2015-07-31

Abstract: Assuming that the surplus process is described by a Sparre-Andersen model, the interclaim times are PH(n) distributed, dividends can only be paid at some randomized observation times and the dividends are paid according to a barrier strategy, the integro-differential equations for the expected discounted dividends and the Laplace transform of ruin time were derived. The solutions of the equations were given with exponentially distributed claims and n=2.

Key words: Sparre-Andersen model, PH(n) distribution, dividend, randomized observation

CLC Number: 

  • O211
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