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On Discrete Risk Process with Stochastic Premiums and Dividends Modulated by Random Discount Rates
Department of Mathematics, University of Texas at Arlington, Arlington, USA
Department of Mathematics, University of Texas at Arlington, Arlington, USA
- 1 Department of Mathematics, University of Texas at Arlington, Arlington, USA
- 2 Department of Mathematics, University of Texas at Arlington, Arlington, USA
Journal of Mathematical Finance·Volume 14 (2024)·Pages 397–416·Published 24 September 2024·DOI10.4236/jmf.2024.144023
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Abstract
We extend the discrete time risk model studied by Korzeniowski [1] [2] via incorporating the effect of dividend payments subject to random discount factor. By applying generating functions technique, effective recursive formulas for the total expected discounted dividends prior to ruin are derived. Results are illustrated by examples representing various surplus process risk scenarios.
KeywordsDiscrete Time Surplus ProcessRandom PremiumsConstant Dividend BarrierRandom Discount FactorTotal Expected Discounted Dividends Prior to RuinGenerating Function Method
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