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- W2022706145 abstract "In this paper, a compound binomial risk model with a constant dividend barrier under stochastic interest rates is considered. Two types of individual claims, main claims and by-claims, are defined, where every by-claim is induced by the main claim and may be delayed for one time period with a certain probability. In the evaluation of the expected present value of dividends, the interest rates are assumed to follow a Markov chain with finite state space. A system of difference 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." @default.
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- W2022706145 date "2010-04-01" @default.
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- W2022706145 title "Expected present value of total dividends in a delayed claims risk model under stochastic interest rates" @default.
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- W2022706145 doi "https://doi.org/10.1016/j.insmatheco.2009.12.007" @default.
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