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On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends

1
Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam, Hong Kong, China
2
Department of Economics, The University of Melbourne, Melbourne, VIC 3010, Australia
*
Author to whom correspondence should be addressed.
Received: 6 December 2017 / Revised: 22 January 2018 / Accepted: 26 January 2018 / Published: 29 January 2018
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Abstract

This paper extends the work of Yuen et al. (2013), who obtained explicit results for the discount-free Gerber–Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero threshold level. Specifically, we establish a recursion method for computing the Gerber–Shiu expected discounted penalty function, which entails a number of important quantities in ruin theory, within the framework of the compound binomial aggregate claims with delayed by-claims and randomized dividends payable at a non-negative threshold level. View Full-Text
Keywords: compound binomial risk model; delayed claims; Gerber–Shiu function; randomized dividends compound binomial risk model; delayed claims; Gerber–Shiu function; randomized dividends
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Wat, K.P.; Yuen, K.C.; Li, W.K.; Wu, X. On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends. Risks 2018, 6, 6.

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