Randomized observation periods for the compound Poisson risk model: Dividends

Hansjörg Albrecher*, Eric C.K. Cheung, Stefan Thonhauser

*Corresponding author for this work

Research output: Contribution to journalArticle

Abstract

In the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents a certain type of bridge between them which still enables the explicit calculation of moments of total discounted dividend payments until ruin. Numerical illustrations for several sets of parameters are given and the effect of random observation times on the performance of the dividend strategy is studied.

Original languageEnglish
Pages (from-to)645-672
Number of pages28
JournalASTIN Bulletin
Volume41
Issue number2
DOIs
Publication statusPublished - 1 Dec 2011
Externally publishedYes

Keywords

  • Compound Poisson risk model
  • Erlangization
  • Horizontal dividend barrier strategy

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Fields of Expertise

  • Information, Communication & Computing

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