EXPECTED PRESENT VALUE OF TOTAL DIVIDENDS IN THE COMPOUND BINOMIAL MODEL WITH DELAYED CLAIMS AND RANDOM INCOME

摘要

In this paper,a compound binomial model with a constant dividend barrier and random income is considered.Two types of individual claims,main claims and byclaims,are defined,where every by-claim is induced by the main claim and may be delayed for one time period with a certain probability.The premium income is assumed to another binomial process to capture the uncertainty of the customer’s arrivals and payments.A system of diference equations with certain boundary conditions for the expected present value of total dividend payments prior to ruin is derived and solved.Explicit results are obtained when the claim sizes are Kn distributed or the claim size distributions have finite support.Numerical results are also provided to illustrate the impact of the delay of by-claims on the expected present value of dividends.