Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model

DOI10.1080/10920277.2007.10597448zbMath1480.91222OpenAlexW2030027690MaRDI QIDQ5019727

Yi Lu, Shuanming Li

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597448

Mathematics Subject Classification ID

Integro-ordinary differential equations (45J05) Actuarial mathematics (91G05)

Related Items

Some state-specific exit probabilities in a Markov-modulated risk model ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ Analysis of risk models using a level crossing technique ⋮ A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model ⋮ Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers ⋮ The Markovian regime-switching risk model with a threshold dividend strategy ⋮ The distribution of total dividend payments in a Sparre Andersen model ⋮ The absolute ruin insurance risk model with a threshold dividend strategy ⋮ The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion ⋮ Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model ⋮ Strategies for Dividend Distribution: A Review ⋮ Analysis of a Generalized Penalty Function in a Semi-Markovian Risk Model

Cites Work

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