The compound binomial model with a constant dividend barrier and periodically paid dividends

Abstract

Consider the compound binomial risk model with interest on the surplus under a constant dividend barrier and periodically paying dividends. A system of integral equations for the arbitrary moments of the sum of the discounted dividend payments until ruin is derived. Moreover, under a very relaxed condition, the solutions for arbitrary moments are obtained by setting up iteration processes because of a special property of the system of integral equations.