Dividends and capital injections in a renewal model with Erlang distributed inter-arrival times

Authors :: Hanspeter Schmidli
Source :: Scandinavian Actuarial Journal. 2022:49-63
Publication Year :: 2021
Publisher :: Informa UK Limited, 2021.
Abstract: We consider a renewal risk model with general Erlang distributed inter-arrival times. We treat this as a Markov modulated risk model and assume, for simplicity, that the states are observable. The ...

Subjects :: Statistics and Probability
Economics and Econometrics
Markov chain
Computer science
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Hamilton–Jacobi–Bellman equation
Observable
Erlang (unit)
Capital (economics)
Dividend
Renewal model
Simplicity
Statistics, Probability and Uncertainty
Mathematical economics
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