On the compound binomial risk model with dividends and time-correlated claims

Abstract

In this talk, we consider the compound binomial risk model with time-correlated claims in which dividends are paid according to the so-called randomized dividend policy. Under the model of study, we derive explicit expression for the Gerber-Shiu discounted free function. As a result, we are able to obtain formulae for some actuarial quantities including the ruin probability, the density of the deficit at ruin, the joint density of the surplus immediately before ruin and the deficit at ruin, and the density of the claim causing ruin.