Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model

ECK Cheung, DCM Dickson, S Drekic

North American Actuarial Journal | Published : 2008


We consider a compound Poisson risk model in which part of the premium is paid to the shareholders as dividends when the surplus exceeds a specified threshold level. In this model we are interested in computing the moments of the total discounted dividends paid until ruin occurs. However, instead of employing the traditional argument, which involves conditioning on the time and amount of the first claim, we provide an alternative probabilistic approach that makes use of the (defective) joint probability density function of the time of ruin and the deficit at ruin in a classical model without a threshold. We arrive at a general formula that allows us to evaluate the moments of the total disco..

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