TITLE:
On Discrete Risk Process with Stochastic Premiums and Dividends Modulated by Random Discount Rates
AUTHORS:
Enoch J. Dangbe, Andrzej Korzeniowski
KEYWORDS:
Discrete Time Surplus Process, Random Premiums, Constant Dividend Barrier, Random Discount Factor, Total Expected Discounted Dividends Prior to Ruin, Generating Function Method
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.14 No.4,
November
27,
2024
ABSTRACT: We extend the discrete time risk model studied by Korzeniowski [1] [2] via incorporating the effect of dividend payments subject to random discount factor. By applying generating functions technique, effective recursive formulas for the total expected discounted dividends prior to ruin are derived. Results are illustrated by examples representing various surplus process risk scenarios.