Two classes of risk model with diffusion and multiple thresholds: the discounted dividends

Authors : Wuyuan JİANG

Pages : 200-212

View : 24 | Download : 8

Publication Date : 2019-02-01

Article Type : Research Paper

Abstract :In this paper, we consider the present value of total dividends until ruin in a perturbed risk model with two independent classes of risks under multiple thresholds, in which both of the two inter-claim times have phase-type distributions. We obtain the integro-differential equations for the moment-generating function and the $r$th moment of discounted dividend payments. Explicit expressions for the expectation of discounted dividend payments are derived if the two classes claim amount distributions both belong to the rational family.
Keywords : Two classes of claims, Diffusion process, Dividend payments, Multiple thresholds, Phase type distribution