Dividends in Ph(n) dual risk model

What is it about?

We study the dual risk renewal model when the waiting times are phase-type distributed. We get expressions for the ruin probability and the Laplace transform of the time of ruin for an arbitrary single gain distribution. Also, we address the calculation of expected discounted future dividends, and we show that the optimal dividend barrier does not depend on the initial reserve. Multiple root situations of Lundberg's equations are studied.

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Why is it important?

Multiple roots of Lundberg's equations are possible for some Ph(n) renewal models, ruin probabilities, optimal dividends and new techniques are studied.

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