Moments of Discounted Dividend Payments in the Sparre Andersen Model with a Constant Dividend Barrier

Jiyang Tan, Lin Xiao, Shaoyue Liu, Xiangqun Yang

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DOI: 10.4236/am.2011.24056                

Abstract

We consider the Sparre Andersen risk process in the presence of a constant dividend barrier, and propose a new expected discounted penalty function which is different from that of Gerber and Shiu. We find that iteration mothed can be used to compute the values of expected discounted dividends until ruin and the new penalty function. Applying the new function and the recursion method proposed in Section 5, we obtain the arbitrary moments of discounted dividend payments until ruin.

Keywords

Sparre Andersen Model, Expected Discounted Penalty Function, Constant Dividend Barrier, Recursion, Iteration

Conflicts of Interest

The authors declare no conflicts of interest.

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