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

Authors : Wuyuan JİANG, Chaoqun MA

Pages : 905-915

View : 22 | Download : 6

Publication Date : 2016-06-01

Article Type : Research Paper

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.
Keywords : Two classes of risk processes, Dividend payments, Moment generating function, Dividend barrier, Phase type distribution