论文信息 - A Risk Model with Reservoir and Dividend Payments

A Risk Model with Reservoir and Dividend Payments

In this paper, dividend payments of a risk model with reservoir is considered. We modify the compound Poisson surplus model for an insurer by including liquid reserves and interest on the surplus. Integro-differential equations and boundary conditions satisfied by the moment generating function and higher moments of the expected discounted aggregate dividend payments and Gerber-Shiu function are obtained.

Bo Xiao | Zheng Xia | Chunwei Wang

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