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Teoriya Veroyatnostei i ee Primeneniya, 2019, Volume 64, Issue 1, Pages 126–150
DOI: https://doi.org/10.4213/tvp5202 (Mi tvp5202) 		 
This article is cited in 2 scientific papers (total in 2 papers)

A risk process with delayed claims and constant dividend barrier

W. Zoua, J. H. Xieb

a School of Science, Nanchang Institute of Technology, Nanchang, P.R. China
b School of Economics and Trade, Nanchang Institute of Technology, Nanchang, P.R. China
Full-text PDF (539 kB) Citations (2)
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DOI: https://doi.org/10.4213/tvp5202
Abstract: This article studies a risk process with constant dividend barrier where the delayed claims are considered, and two types of individual claims, main claims and by-claims, are defined. Each by-claim is induced by a main claim and may be delayed with a certain probability. Both the expected discounted penalty functions and the moment generating functions of the total dividend payments until ruin are derived. The moments of the total dividend payments until ruin and the dividends-penalty identity are given. Finally, numerical examples are provided to illustrate the applicability of the results and the effects of the delay probabilities on the expectations of the total dividend payments until ruin.
Keywords: risk process, delayed claim, dividend, moment.
Funding agency Grant number
National Natural Science Foundation of China 11761051
11561047
Humanity and Social Science Foundation of JiangXi Province GL17248
JC17240
STRP of JiangXi Province GJJ151101
GJJ151116
Social Science Foundation of JiangXi Province 16YJ28
The first author was supported by the National Natural Science Foundation of China (grant 11761051), the Humanity and Social Science Foundation of JiangXi Province (grant GL17248), and the STRP of JiangXi Province (grant GJJ151101). The second author was supported by the National Natural Science Foundation of China (grant 11561047), the Natural Science Foundation of JiangXi Province (grant 20181BAB211003), the Humanity and Social Science Foundation of JiangXi Province (grant JC17240), the Social Science Foundation of JiangXi Province (grant 16YJ28), and the STRP of JiangXi Province (grant GJJ151116).
Received: 09.10.2015
Revised: 23.05.2018
Accepted: 24.05.2018
English version:
Theory of Probability and its Applications, 2019, Volume 64, Issue 1, Pages 103–123
DOI: https://doi.org/10.1137/S0040585X97T989416
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: W. Zou, J. H. Xie, “A risk process with delayed claims and constant dividend barrier”, Teor. Veroyatnost. i Primenen., 64:1 (2019), 126–150; Theory Probab. Appl., 64:1 (2019), 103–123
Citation in format AMSBIB
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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