Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model

DOI10.1080/03461238.2021.1958917zbMath1492.91300OpenAlexW3184840371MaRDI QIDQ5073018

Zhengjun Jiang

Publication date: 5 May 2022

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

Full work available at URL: https://doi.org/10.1080/03461238.2021.1958917

zbMATH Keywords

Banach contraction principleruin probabilityMarkov property\(q\)-scale functionMarkov-modulated classical risk model

Mathematics Subject Classification ID

Processes in random environments (60K37) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

Related Items (1)

q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model

Cites Work

• Unnamed Item
• Banach contraction principle and ruin probabilities in regime-switching models
• Complete discounted cash flow valuation
• Optimal dividend distribution under Markov regime switching
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• 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

This page was built for publication: Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model