A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy

DOI10.1016/j.insmatheco.2013.11.004zbMath1289.91074OpenAlexW2040480995MaRDI QIDQ2015475

Xu Chen, Ting Xiao, Xiang-Qun Yang

Publication date: 23 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.11.004

zbMATH Keywords

system of integro-differential equationsMarkov-modulateddiscounted dividend paymentsthreshold dividend strategynumerical sinc methodrandomized observation periods

Mathematics Subject Classification ID

Related Items (12)

Markov-dependent risk model with multi-layer dividend strategy ⋮ Banach contraction principle and ruin probabilities in regime-switching models ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ A generalization of Gerber's inequality for ruin probabilities in risk-switching models ⋮ A markov-modulated risk model with transaction costs and threshold dividend strategy ⋮ The perturbed compound Poisson risk model with proportional investment ⋮ Optimal financing and dividend policy with Markovian switching regimes ⋮ Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation ⋮ On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions ⋮ Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement

Uses Software

• Sinc-Pack

Cites Work

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• Some Optimal Dividends Problems
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• Near optimality of the sinc approximation
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest

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