On a discrete interaction risk model with delayed claims and randomized dividends. Issue 15 (30th June 2022)

• Record Type: Journal Article
• Authors: Liu, Juan; Huang, Ya; Xiang, Xuyan; Zhou, Jieming
• Is Part Of: Communications in statistics. Volume 51:Issue 15(2022)
• Page Start: 5241
• Page End: 5257
• Publication Date: 2022-06-30
• Subjects: Delayed claims -- discrete interaction risk model -- Gerber-Shiu function -- randomized dividends -- non-negative threshold; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2020.1836221
• Languages: English
• ISSNs: 0361-0926

Abstract

Abstract: In this paper, we study a discrete interaction risk model with delayed claims and randomized dividends payable at a non-negative threshold level. The recursive formula and the defective renewal equation for the Gerber-Shiu discounted penalty function are derived. Furthermore, the explicit expression for the discount-free Gerber-Shiu function is obtained. As an application, the joint distributions of the surplus immediately prior to ruin and the deficit at ruin and numerical illustration from a specific example are presented.