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

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

Content Provider	MDPI
Author	Pirozzi, Enrica
Copyright Year	2022
Description	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 $ν$ -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.
Starting Page	570
e-ISSN	22277390
DOI	10.3390/math10040570
Journal	Mathematics
Issue Number	4
Volume Number	10
Language	English
Publisher	MDPI
Publisher Date	2022-02-12
Access Restriction	Open
Subject Keyword	Mathematics Operations Research and Management Science Stochastic Premiums and Claims Fractional Poisson Process Multi–layer Dividend Strategy Ruin Probability Piecewise Integro-differential Equation
Content Type	Text
Resource Type	Article

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