Journal of Advances in Mathematics and Computer Science

On a Discrete Time Semi-Markov Risk Model with Dividends and Stochastic Premiums

Cui Wang *

School of Mathematics, Liaoning Normal University, Dalian 116029, China.

*Author to whom correspondence should be addressed.

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Abstract

A discrete semi-Markov risk model with dividends and stochastic premiums is investigated. We derive recursive equations for the expected penalty function by using the technique of probability generating function. Finally, a numerical example is given to illustrate the applicability of the results obtained.

Keywords: Discrete time semi-Markov risk model, stochastic premiums, randomized dividends, expected penalty function.

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