Gambler's ruin problem in a Markov-modulated jump-diffusion risk model

DOI10.1080/03461238.2021.2025145zbMath1501.91157OpenAlexW4207027020MaRDI QIDQ5042786

Zhengjun Jiang, Yuxuan Liu, Yixin Qu

Publication date: 26 October 2022

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2021.2025145

zbMATH Keywords

Banach contraction principle\(q\)-scale functionMarkov-modulated jump-diffusion risk modeltwo-sided ruin probability

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

Cites Work

• Occupation densities in solving exit problems for Markov additive processes and their reflections
• Smoothness of scale functions for spectrally negative Lévy processes
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• Banach contraction principle and ruin probabilities in regime-switching models
• Complete discounted cash flow valuation
• Optimal dividend distribution under Markov regime switching
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching
• OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
• Optimal Dividend Policy when Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switching
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