Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model

Papaioannou, Apostolos D and Ramsden, Lewis ORCID: 0000-0002-6665-7596 (2023) Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model. Risks, 11 (1). p. 1.

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Official URL: http://dx.doi.org/10.3390/risks11010001

Abstract

<jats:p>In this paper we consider a risk model with two independent classes of insurance risks in the presence of a multi-layer dividend strategy. We assume that both of the claim number processes are renewal processes with phase-type inter-arrival times. By analysing the Markov chains associated with the two given phase-type distributions of the inter-arrival times, algorithmic schemes for the determination of explicit expressions for the Gerber–Shiu expected discounted penalty function, as well as the expected discounted dividend payments are derived, using two different approaches.</jats:p>

Item Type:	Article
Divisions:	Faculty of Science and Engineering > School of Physical Sciences
Depositing User:	Symplectic Admin
Date Deposited:	25 Jan 2023 11:48
Last Modified:	15 Mar 2024 06:52
DOI:	10.3390/risks11010001
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3167874