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Dividend moments for two classes of risk processes with phase-type interclaim times

Year 2016, Volume: 45 Issue: 3, 905 - 915, 01.06.2016

Abstract

In this paper, we consider the distribution of discounted dividend pay-
ments until ruin under a risk model with two independent classes
of claims in which both of the two interclaim times have phase-
type distributions and a constant dividend barrier. We obtain the
integro-differential equations with boundary conditions for the moment-
generating function of the sum of the discounted dividend payments un-
til ruin. Explicit expressions for arbitrary moments of the discounted
dividend payments are derived if the distribution of the two classes
claim amount both belong to the rational family. Finally, numerical
illustrations are presented to show how the results are applied.

References

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Year 2016, Volume: 45 Issue: 3, 905 - 915, 01.06.2016

Abstract

References

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There are 1 citations in total.

Details

Primary Language English
Subjects Statistics
Journal Section Statistics
Authors

Wuyuan Jiang This is me

Chaoqun Ma This is me

Publication Date June 1, 2016
Published in Issue Year 2016 Volume: 45 Issue: 3

Cite

APA Jiang, W., & Ma, C. (2016). Dividend moments for two classes of risk processes with phase-type interclaim times. Hacettepe Journal of Mathematics and Statistics, 45(3), 905-915.
AMA Jiang W, Ma C. Dividend moments for two classes of risk processes with phase-type interclaim times. Hacettepe Journal of Mathematics and Statistics. June 2016;45(3):905-915.
Chicago Jiang, Wuyuan, and Chaoqun Ma. “Dividend Moments for Two Classes of Risk Processes With Phase-Type Interclaim Times”. Hacettepe Journal of Mathematics and Statistics 45, no. 3 (June 2016): 905-15.
EndNote Jiang W, Ma C (June 1, 2016) Dividend moments for two classes of risk processes with phase-type interclaim times. Hacettepe Journal of Mathematics and Statistics 45 3 905–915.
IEEE W. Jiang and C. Ma, “Dividend moments for two classes of risk processes with phase-type interclaim times”, Hacettepe Journal of Mathematics and Statistics, vol. 45, no. 3, pp. 905–915, 2016.
ISNAD Jiang, Wuyuan - Ma, Chaoqun. “Dividend Moments for Two Classes of Risk Processes With Phase-Type Interclaim Times”. Hacettepe Journal of Mathematics and Statistics 45/3 (June 2016), 905-915.
JAMA Jiang W, Ma C. Dividend moments for two classes of risk processes with phase-type interclaim times. Hacettepe Journal of Mathematics and Statistics. 2016;45:905–915.
MLA Jiang, Wuyuan and Chaoqun Ma. “Dividend Moments for Two Classes of Risk Processes With Phase-Type Interclaim Times”. Hacettepe Journal of Mathematics and Statistics, vol. 45, no. 3, 2016, pp. 905-1.
Vancouver Jiang W, Ma C. Dividend moments for two classes of risk processes with phase-type interclaim times. Hacettepe Journal of Mathematics and Statistics. 2016;45(3):905-1.