On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions

In this paper, we further extend the insurance risk model in Albrecher et al. (2011b), who proposed to only intervene in the compound Poisson risk process at the discrete time points ${L_k}_{k=0}^infty$ where the event of ruin is checked and dividend decisions are made. In practice, an insurance company typically balances its books (and monitors its solvency) more frequently than deciding on dividend payments. This motivates us to propose a generalization in which ruin is monitored at ${L_k}_{k=0}^infty$ whereas dividend decisions are only made at ${L_{jk}}_{k=0}^infty$ for some positive integer $j$. Assuming that the intervals between the time points ${L_k}_{k=0}^infty$ are Erlang($n$) distributed, the Erlangization technique (e.g. Asmussen et al. (2002)) allows us to model the more realistic situation with the books balanced e.g. monthly and dividend decisions made e.g. quarterly or semi-annually. Under a dividend barrier strategy with the above randomized interventions, we derive the expected discounted dividends paid until ruin. Numerical examples about dividend maximization with respect to the barrier $b$ and/or the value of $j$ are given.postprin

Generalized Markov chain tree theorem and Kemeny's constant for a class of non-Markovian matrices

10.1016/j.spl.2022.109739Statistics and Probability Letters193109739-10973

Indentation stiffness measurement by an optical coherence tomography-based air-jet indentation system can reflect type I collagen abundance and organisation in diabetic wounds

202103 bcvcVersion of RecordRGCPolyU 5602/13M and PolyU 151003/14MPublishe