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ArticleRuin theory for a Markov regime-switching model under a threshold dividend strategy

Jinxia Zhu2007

Article2007

Ruin theory for a Markov regime-switching model under a threshold dividend strategy

Jinxia Zhu · Hailiang Yang

39 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

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References

1979An introduction to mathematical risk theory 1998On the Time Value of Ruin 2004Optimal Dividends 1989Risk theory in a Markovian environment 2003The classical risk model with a constant dividend barrier: analysis of the Gerber–Shiu discounted penalty function 2005The compound Poisson risk model with a threshold dividend strategy 1984On a Class of Semi-Markov Risk Models Obtained as Classical Risk Models in a Markovian Environment 2005On the probability of ruin in a Markov-modulated risk model

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2008The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model 2010Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching 2009Perturbed MAP Risk Models with Dividend Barrier Strategies

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2007Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Modelarticle · 6 shared references 2007The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusionarticle · 6 shared references 2006The Gerber–Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrierarticle · 5 shared references 2008The Markovian regime-switching risk model with a threshold dividend strategyarticle · 5 shared references 2014The Markov Additive Risk Process Under an Erlangized Dividend Barrier Strategyarticle · 5 shared references 2009Strategies for Dividend Distribution: A Reviewarticle · 4 shared references

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Year2007

Typearticle

Published2007-04-05

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations39

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2007.03.004

openalex_workW2016078616

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