On differentiability of ruin functions under Markov-modulated models

DOI10.1016/j.spa.2008.08.007zbMath1168.91421OpenAlexW2085321964MaRDI QIDQ1016634

Jinxia Zhu, Hailiang Yang

Publication date: 6 May 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.08.007

zbMATH Keywords

differentiabilitystrong Markov propertyGerber-Shiu functiondual modelMarkov-modulated modelruin function

Mathematics Subject Classification ID

Related Items (13)

Survival probabilities in a discrete semi-Markov risk model ⋮ Numerical method for a Markov-modulated risk model with two-sided jumps ⋮ Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion ⋮ 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 ⋮ Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest ⋮ A class of non-zero-sum stochastic differential investment and reinsurance games ⋮ Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest ⋮ DIVIDEND OPTIMIZATION FOR A REGIME-SWITCHING DIFFUSION MODEL WITH RESTRICTED DIVIDEND RATES ⋮ Expected discounted dividends in a discrete semi-Markov risk model ⋮ Dividend optimization for regime-switching general diffusions ⋮ Optimal dividend control for a generalized risk model with investment incomes and debit interest ⋮ Ruin time and aggregate claim amount up to ruin time for the perturbed risk process

Cites Work

• Optimal dividends in the dual model
• Distributions for the risk process with a stochastic return on investments.
• Ruin probabilities and penalty functions with stochastic rates of interest
• Some results about the expected ruin time in Markov-modulated risk models
• Differentiation of some functionals of risk processes, and optimal reserve allocation
• On the Time Value of Ruin

This page was built for publication: On differentiability of ruin functions under Markov-modulated models