Ruin theory for a Markov regime-switching model under a threshold dividend strategy

DOI10.1016/j.insmatheco.2007.03.004zbMath1141.91558OpenAlexW2016078616MaRDI QIDQ939367

Jinxia Zhu, Hailiang Yang

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.03.004

zbMATH Keywords

integro-differential equationruin probabilityMarkov regime-switchingdeficit at ruindividend

Mathematics Subject Classification ID

Related Items (24)

\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment ⋮ On a multi-dimensional risk model with regime switching ⋮ Survival probabilities in a discrete semi-Markov risk model ⋮ Perturbed MAP Risk Models with Dividend Barrier Strategies ⋮ Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching ⋮ Numerical method for a Markov-modulated risk model with two-sided jumps ⋮ Constant barrier strategies in a two-state Markov-modulated dual risk model ⋮ Joint and supremum distributions in the compound binomial model with Markovian environment ⋮ On a discrete Markov-modulated risk model with random premium income and delayed claims ⋮ On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income ⋮ A unified analysis of claim costs up to ruin in a Markovian arrival risk model ⋮ On a reduced form credit risk model with common shock and regime switching ⋮ Insurance claims modulated by a hidden Brownian marked point process ⋮ Estimating the parameters of a seasonal Markov-modulated Poisson process ⋮ Number of claims and ruin time for a refracted risk process ⋮ Optimal dividend distribution under Markov regime switching ⋮ On the Markov-modulated insurance risk model with tax ⋮ Classical and singular stochastic control for the optimal dividend policy when there is regime switching ⋮ Expected discounted dividends in a discrete semi-Markov risk model ⋮ Dividend optimization for regime-switching general diffusions ⋮ The impact of negative interest rates on optimal capital injections ⋮ The Markovian regime-switching risk model with a threshold dividend strategy ⋮ A Markov Additive Risk Process with a Dividend Barrier ⋮ Strategies for Dividend Distribution: A Review

Cites Work

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• On the probability of ruin in a Markov-modulated risk model
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• The compound Poisson risk model with a threshold dividend strategy
• Some results about the expected ruin time in Markov-modulated risk models
• Risk theory in a Markovian environment
• Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model
• Optimal Dividends
• On the Time Value of Ruin

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