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The compound binomial model with a constant dividend barrier and periodically paid dividends

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Abstract

Consider the compound binomial risk model with interest on the surplus under a constant dividend barrier and periodically paying dividends. A system of integral equations for the arbitrary moments of the sum of the discounted dividend payments until ruin is derived. Moreover, under a very relaxed condition, the solutions for arbitrary moments are obtained by setting up iteration processes because of a special property of the system of integral equations.

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Authors and Affiliations

  1. Department of Statistics, Xiangtan University, Xiangtan, 411105, China

    Jiyang Tan

  2. Department of Mathematics, Hunan Normal University, Changsha, 410081, China

    Xiangqun Yang

  3. HPCSIP Key Laboratory, Ministry of Education, Changsha, 410081, China

    Xiangqun Yang

Authors
  1. Jiyang Tan
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  2. Xiangqun Yang
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Corresponding author

Correspondence to Jiyang Tan.

Additional information

This research is supported by the Natural Sciences Foundation of China under Grant No. 10871064.

This paper was recommended for publication by Editor Shouyang WANG.

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Tan, J., Yang, X. The compound binomial model with a constant dividend barrier and periodically paid dividends. J Syst Sci Complex 25, 167–177 (2012). https://doi.org/10.1007/s11424-012-9243-0

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  • DOI: https://doi.org/10.1007/s11424-012-9243-0

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