View Submission - EcoSta2019

A0522
**Title: **Modified compound binomial risk model with by-claims and randomized dividends
**Authors: **Neelesh Shankar Upadhye - Indian Institute of Technology Madras (India)

B S Aparna - Indian Institute of Technology Madras, Chennai. (India)**[presenting]**

**Abstract: **Consider the discrete time compound Binomial risk model with by-claims and randomized dividends. Let $V$ be an indicator random variable representing the issuance or non-issuance of a dividend. A dividend is issued with probability $\mathbb{E}(V)$ whenever the surplus exceeds a non negative threshold $d$. Main claims are assumed to induce by-claims. Also, by-claims are settled at most by the next time period. We assume that the claim and by-claim probabilities follow a Beta distribution. Thus, the end is to investigate the behaviour of the discrete time compound Beta-Binomial risk model with by-claims and randomized dividends. We derive recursive expressions for the discounted conditional expected penalty function, the probability of ruin, the distribution function of the deficit at ruin, the generating function of the deficit at ruin and the probability of the surplus prior to ruin.

B S Aparna - Indian Institute of Technology Madras, Chennai. (India)