Publicação
On dividends in the phase–type dual risk model
| dc.contributor.author | Bergel, Agnieszka I. | |
| dc.contributor.author | Rodríguez-Martínez, Eugenio V. | |
| dc.contributor.author | Reis, Alfredo D. Egídio dos | |
| dc.date.accessioned | 2022-05-31T19:42:20Z | |
| dc.date.available | 2022-05-31T19:42:20Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | The dual risk model assumes that the surplus of a company decreases at a constant rate over time, and grows by means of upward jumps which occur at random times with random sizes. In the present work, we study the dual risk renewal model when the waiting times are phasetype distributed. Using the roots of the fundamental and the generalized Lundberg’s equations, we get expressions for the ruin probability and the Laplace transform of the time of ruin for an arbitrary single gain distribution. Then, we address the calculation of expected discounted future dividends particularly when the individual common gains follow a phase-type distribution. We further show that the optimal dividend barrier does not depend on the initial reserve. As far as the roots of the Lundberg equations and the time of ruin are concerned, we address the existing formulae in the corresponding Sparre-Andersen insurance risk model for the first hitting time, and we generalize them to cover also the situations where we have multiple roots. We do that working a new approach and technique, approach we also use for working the dividends, unlike others, it can be also applied for every situation | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Bergel, Agnieszka I., Eugenio V. Rodríguez-Martínez, and Alfredo D. Egidio dos Reis. (2017). "On dividends in the phase–type dual risk model." Scandinavian Actuarial Journal. Vol. 2017, nº 9: pp. 761-784. | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.5/24443 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Taylor & Francis | pt_PT |
| dc.subject | Dual Risk Model | pt_PT |
| dc.subject | Phase-Type Distribution | pt_PT |
| dc.subject | Lundberg’s Equations | pt_PT |
| dc.subject | Ruin Probability | pt_PT |
| dc.subject | Time to Ruin | pt_PT |
| dc.subject | Expected Discounted Dividends | pt_PT |
| dc.title | On dividends in the phase–type dual risk model | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |