The Markovian regime-switching risk model with a threshold dividend strategy

DOI10.1016/j.insmatheco.2008.04.004zbMath1163.91438OpenAlexW1987489278MaRDI QIDQ1017771

Yi Lu, Shuanming Li

Publication date: 12 May 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.04.004

zbMATH Keywords

integro-differential equationregime-switching modelGerber-Shiu functionthreshold dividend strategypresent value of dividend payments

Mathematics Subject Classification ID

Related Items (26)

\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment ⋮ Survival probabilities in a discrete semi-Markov risk model ⋮ Dividend optimisation: a behaviouristic approach ⋮ On a risk model with random incomes and dependence between claim sizes and claim intervals ⋮ On a perturbed MAP risk model under a threshold dividend strategy ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process ⋮ Iterative weak approximation and hard bounds for switching diffusion ⋮ Joint and supremum distributions in the compound binomial model with Markovian environment ⋮ On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income ⋮ The discounted penalty function with multi-layer dividend strategy in the phase-type risk model ⋮ On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy ⋮ A Risk Process with Delayed Claims and Constant Dividend Barrier ⋮ Analysis of risk models using a level crossing technique ⋮ Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Number of claims and ruin time for a refracted risk process ⋮ Dividend Payments in a Risk Model Perturbed by Diffusion with Multiple Thresholds ⋮ On the Markov-modulated insurance risk model with tax ⋮ Classical and singular stochastic control for the optimal dividend policy when there is regime switching ⋮ Expected discounted dividends in a discrete semi-Markov risk model ⋮ The distribution of total dividend payments in a Sparre Andersen model ⋮ A Markov Additive Risk Process with a Dividend Barrier ⋮ Unnamed Item ⋮ The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds ⋮ Strategies for Dividend Distribution: A Review

Cites Work

• On the discounted penalty function in a Markov-dependent risk model
• Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• The compound Poisson risk model with multiple thresholds
• On the time to ruin for Erlang(2) risk processes.
• On a class of renewal risk models with a constant dividend barrier
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• The compound Poisson risk model with a threshold dividend strategy
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• Analysis of a threshold dividend strategy for a MAP risk model
• Risk theory in a Markovian environment
• On Optimal Dividend Strategies In The Compound Poisson Model
• A Risk Model with Multilayer Dividend Strategy
• Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• The Time Value of Ruin in a Sparre Andersen Model
• On the Time Value of Ruin
• Volterra integral and differential equations

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