On a Fractional Stochastic Risk Model with a Random Initial Surplus and a Multi-Layer Strategy

Mathematics

Enrica Pirozzi¹ 

[1] Dipartimento di Matematica e Applicazioni, Università di Napoli “Federico II”, via Cintia, Complesso Monte S. Angelo, I-80126 Napoli, Italy;

关键词: stochastic premiums and claims;    fractional Poisson process;    multi–layer dividend strategy;    ruin probability;    piecewise integro-differential equation;   

DOI  :  10.3390/math10040570

来源: DOAJ

【 摘 要 】

The paper deals with a fractional time-changed stochastic risk model, including stochastic premiums, dividends and also a stochastic initial surplus as a capital derived from a previous investment. The inverse of a $\nu$-stable subordinator is used for the time-change. The submartingale property is assumed to guarantee the net-profit condition. The long-range dependence behavior is proven. The infinite-horizon ruin probability, a specialized version of the Gerber–Shiu function, is considered and investigated. In particular, we prove that the distribution function of the infinite-horizon ruin time satisfies an integral-differential equation. The case of the dividends paid according to a multi-layer dividend strategy is also considered.

【 授权许可】

Unknown