Recursive Approaches for Multi-Layer Dividend Strategies in a Phase-Type Renewal Risk Model

Apostolos Papaioannou, Lewis Ramsden*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper we consider a risk model with two independent classes of insurance risks in the presence of a multi-layer dividend strategy. We assume that both of the claim number processes are renewal processes with phase-type inter-arrival times. By analysing the Markov chains associated with the two given phase-type distributions of the inter-arrival times, algorithmic schemes for the determination of explicit expressions for the Gerber–Shiu expected discounted penalty function, as well as the expected discounted dividend payments are derived, using two different approaches.
Original languageEnglish
Number of pages21
JournalRisks
Volume11
Issue number1
DOIs
Publication statusPublished - 20 Dec 2022

Bibliographical note

© 2022 by the authors. Licensee MDPI, Basel, Switzerland.

Keywords

  • two-classes of claim
  • renewal risk processes
  • multi-layer dividend strategy
  • phase-type distribution
  • Gerber-Shiu function
  • expected discounted dividend payments

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