Constant barrier strategies in a two-state Markov-modulated dual risk model

DOI10.1007/S10255-011-0113-7zbMath1268.91171OpenAlexW2117112914MaRDI QIDQ1942156

Kui Luo, Guangming Wang, Xue-Min Ma, Hu, Yijun

Publication date: 18 March 2013

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-011-0113-7

zbMATH Keywords

barrier strategydual risk modelMarkov-modulated risk model

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Discrete-time Markov processes on general state spaces (60J05) Corporate finance (dividends, real options, etc.) (91G50) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income

Cites Work

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• Optimal Dividends in the Dual Model with Diffusion
• Estimation of the Lundberg coefficient for a Markov modulated risk model
• On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model
• Risk theory in a Markovian environment

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