Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model

Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model

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 t...

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Bibliographic Details
Main Authors: Apostolos D. Papaioannou, Lewis Ramsden
Format: Article
Language:English
Published: MDPI AG 2022-12-01
Series:Risks
Subjects:
two-classes of claim
renewal risk processes
multi-layer dividend strategy
phase-type distribution
Gerber–Shiu function
expected discounted dividend payments
Online Access:https://www.mdpi.com/2227-9091/11/1/1

Internet

https://www.mdpi.com/2227-9091/11/1/1

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