Dividend payments with barrier strategy in the discrete-time interaction risk model
PENG Dan1, HOU Zhen-ting2
1. Department of Mathematics, Hunan University of Science and Technology, Xiangtan 411201, China
2. Department of Mathematics, Central South University, Changsha 410075, China
Abstract In this paper, a discrete-time interaction risk model with delayed claims and a constant dividend barrier is considered. the interaction comes from the assumption that each main claim in one class induces a by-claim in the other class with a certain probability. The occurrences of induced claim may be delayed. A system of difference equations with certain boundary conditions for the expected present value of total dividend payments prior to ruin is derived and solved. Explicit expressions for the corresponding results are derived in a special case, numerical examples are also given.
PENG Dan, HOU Zhen-ting. Dividend payments with barrier strategy in the discrete-time interaction risk model. Applied Mathematics A Journal of Chinese Universities, 2015, 30(1): 31-42.
