On a discrete time risk model with time-delayed claims and a constant dividend barrier
X Wu, S Li
Insurance Markets and Companies: Analyses and Actuarial Computations | Dilovi Perspektyvy,Business Perspectives | Published : 2012
In this paper a compound binomial risk model with a constant dividend barrier is considered. Two types of individual claims, main claims and by-claims, are defined, where one main claim is dependent with its associated by-claim and the settlement of the by-claim may be delayed for one time period under a certain probability. Formulae for calculating the expected present value of dividend payments up to the time of ruin are provided for discrete-type individual claims. The dividends-penalty identity is then derived. Finally explicit expressions for the corresponding results are obtained for two classes of claim size distributions.