The dual risk model with dividends taken at arrival

Onno Boxma, Esther Frostig

Research output: Contribution to journalArticlepeer-review

Abstract

We consider the dual risk model with special dividend or tax payments: If an arriving gain finds the surplus above a barrier b or if it would bring the surplus above that level, a certain part of the gain is paid as dividends or taxes. We obtain expressions for the joint Laplace–Stieltjes transform of the time to ruin and the amount of dividends paid until ruin, and for the expected discounted dividend paid until ruin. We consider the case where the dividend paid from each gain is a general function of the gain. More explicit results are obtained when the dividend is a given percentage of the gain amount.

Original languageEnglish
Pages (from-to)83-92
Number of pages10
JournalInsurance: Mathematics and Economics
Volume83
DOIs
StatePublished - Nov 2018

Bibliographical note

Funding Information:
The research of Onno Boxma was supported via a TOP-C1 grant of the Netherlands Organisation for Scientific Research .

Funding Information:
The research of Onno Boxma was supported via a TOP-C1 grant of the Netherlands Organisation for Scientific Research.

Publisher Copyright:
© 2018 Elsevier B.V.

Keywords

  • Busy period
  • Dividend
  • Dual risk model
  • M∕G∕1 queue
  • Time to ruin

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

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