英文标题：
《On the Compound Beta-Binomial Risk Model with Delayed Claims and
  Randomized Dividends》
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作者：
Aparna B. S, Neelesh S Upadhye
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最新提交年份：
2019
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英文摘要：
  In this paper, we propose the discrete time Compound Beta-Binomial Risk Model with by-claims, delayed by-claims and randomized dividends. We then analyze the Gerber-Shiu function for the cases where the dividend threshold $d=0$ and $d>0$ under the assumption that the constant discount rate $\\nu \\in (0,1)$. More specifically, we study the discrete time compound binomial risk model subject to the assumption that the probabilities with which the claims, by-claims occur and the dividends are issued are not fixed(constant), instead the probabilities are random and follow a Beta distribution with parameters $a_{i}$ and $b_{i}$, $i = 1, 2, 3$. Recursive expressions for the Gerber-Shiu function corresponding to the proposed model are obtained. The recursive relations are further utilized to obtain significant ruin related quantities of interest. Recursive relations for probability of ruin, the probability of the deficit at ruin, the generating function of the deficit at ruin and the probability of surplus at ruin and for the probability of the claim causing ruin are obtained.
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中文摘要：
在这篇文章中，我们提出了具有副索赔、延迟索赔和随机红利的离散时间复合贝塔二项风险模型。然后，我们在假设（0,1）$中的固定贴现率为$\\ nu \\的情况下，分析了股息阈值$d=0$和$d>0$的情况下的Gerber-Shiu函数。更具体地说，我们研究了离散时间复合二项式风险模型，假设索赔、副索赔发生和股息发放的概率不是固定的（常数），而是随机的，并且遵循参数为$a{i}$和$b{i}$，$i=1，2，3$的贝塔分布。得到了该模型对应的Gerber-Shiu函数的递推表达式。进一步利用递推关系获得与破产相关的重要利息量。得到了破产概率、破产时赤字概率、破产时赤字概率、破产时盈余概率和索赔引起破产概率的递推关系。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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