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Randomized Observation Periods for the Compound Poisson Risk Model: Dividends

Published online by Cambridge University Press:  09 August 2013

Hansjörg Albrecher ,
Eric C.K. Cheung  and
Stefan Thonhauser
Hansjörg Albrecher
Affiliation:
Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, Faculty Member of the Swiss Finance Institute UNIL-Dorigny, CH-1015 Lausanne, Switzerland
Eric C.K. Cheung
Affiliation:
Department of Statistics and Actuarial Science, University of Hong Kong, Pokfulam, Hong Kong
Stefan Thonhauser
Affiliation:
Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, UNIL-Dorigny, CH-1015 Lausanne, Switzerland
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Abstract

In the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents a certain type of bridge between them which still enables the explicit calculation of moments of total discounted dividend payments until ruin. Numerical illustrations for several sets of parameters are given and the effect of random observation times on the performance of the dividend strategy is studied.

Keywords

Compound Poisson risk modelhorizontal dividend barrier strategyErlangization
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 41 , Issue 2 , November 2011 , pp. 645 - 672
Copyright
Copyright © International Actuarial Association 2011

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