Title :
A Risk Model with Reservoir and Dividend Payments
Author :
Wang, Chunwei ; Xia, Zheng ; Xiao, Bo
Author_Institution :
Dept. of Math. & Stat., Henan Univ. of Sci. & Technol., Luoyang, China
Abstract :
In this paper, dividend payments of a risk model with reservoir is considered. We modify the compound Poisson surplus model for an insurer by including liquid reserves and interest on the surplus. Integro-differential equations and boundary conditions satisfied by the moment generating function and higher moments of the expected discounted aggregate dividend payments and Gerber-Shiu function are obtained.
Keywords :
Poisson equation; boundary-value problems; insurance; integro-differential equations; investment; risk analysis; Gerber-Shiu function; boundary conditions; compound Poisson surplus model; discounted aggregate dividend payments; integro-differential equations; liquid reserves; moment generating function; reservoir; risk model; Aggregates; Compounds; Computational modeling; Equations; Insurance; Liquids; Mathematical model; Gerber-Shiu function; Integro-differential equation; dividend payments; liquid Reservoir; moment generating function;
Conference_Titel :
Computational Sciences and Optimization (CSO), 2012 Fifth International Joint Conference on
Conference_Location :
Harbin
Print_ISBN :
978-1-4673-1365-0
DOI :
10.1109/CSO.2012.83
