Cover Image

The distribution of total dividend payments in a Sparre Andersen model

We study the distribution of the total dividend payments in a Sparre Andersen model with phase-type inter-claim times in the presence of a constant dividend barrier. This paper shows that the distribution of the total dividend payments prior to the time of ruin is a mixture of a degenerate distribution at zero and a phase-type distribution. Further, the total dividends prior to ruin can be expressed as a compound geometric sum.
Year of publication:
2009
Authors: Li, Shuanming ; Lu, Yi
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 9, p. 1246-1251
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005023096
Similar items by person