Papaioannou, Apostolos and Ramsden, Lewis (2022) Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model. Risks. ISSN 2227-9091
Abstract
In this paper we consider a risk model with two independent classes of insurance risks in the presence of a multi-layer dividend strategy. We assume that both of the claim number processes are renewal processes with phase-type inter-arrival times. By analysing the Markov chains associated with the two given phase-type distributions of the inter-arrival times, algorithmic schemes for the determination of explicit expressions for the Gerber–Shiu expected discounted penalty function, as well as the expected discounted dividend payments are derived, using two different approaches.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2022 by the authors. Licensee MDPI, Basel, Switzerland. |
Keywords: | two-classes of claim,renewal risk processes,multi-layer dividend strategy,phase-type distribution,Gerber-Shiu function,expected discounted dividend payments |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 20 Dec 2022 12:30 |
Last Modified: | 21 Jan 2025 18:06 |
Published Version: | https://doi.org/10.3390/risks11010001 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.3390/risks11010001 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:194650 |