Abstract
This paper considers the compound binomial model with randomized decisions on paying dividends. By using two formulas obtained by Tan and Yang [J.Y. Tan, X.Q. Yang, The compound binomial model with randomized decisions on paying dividends, Insurance: Mathematics and Economics 39 (2006) 1–18], two defective renewal equations for the Gerber–Shiu penalty function are derived and solved. The analytic solutions obtained are utilized to derive the probability of ultimate ruin, the deficit distribution at ruin and the distribution of the claim causing ruin. The asymptotic estimate satisfied by the penalty function is discussed in some detail.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.