Moments of discounted dividend payments in a risk model with randomized dividend-decision times

Abstract

We consider a perturbed compound Poisson risk model with randomized dividend-decision times. Different from the classical barrier dividend strategy, the insurance company makes decision on whether or not paying off dividends at some discrete time points (called dividend-decision times). Assume that at each dividend-decision time, if the surplus is larger than a barrier b>0, the excess value will be paid off as dividends. Under such a dividend strategy, we study how to compute the moments of the total discounted dividend payments paid off before ruin.

Key words： Moments of discounted dividends; compound Poisson model; integro-differential equation; ruin

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