Dividend moments for two classes of risk processes with phase-type interclaim times

Wuyuan Jiang, Chaoqun Ma
2015 Hacettepe Journal of Mathematics and Statistics  
In this paper, we consider the distribution of discounted dividend payments until ruin under a risk model with two independent classes of claims in which both of the two interclaim times have phasetype distributions and a constant dividend barrier. We obtain the integro-dierential equations with boundary conditions for the momentgenerating function of the sum of the discounted dividend payments until ruin. Explicit expressions for arbitrary moments of the discounted dividend payments are
more » ... if the distribution of the two classes claim amount both belong to the rational family. Finally, numerical illustrations are presented to show how the results are applied.
doi:10.15672/hjms.20156510908 fatcat:hyherj5ypvfmxp52ko4bfwhmdq