When does surplus reach a given target before ruin in the Markov-modulated diffusion model?

DOI10.1016/j.jkss.2009.07.001zbMath1294.91081OpenAlexW2056351798MaRDI QIDQ2511333

Hu Yang, Zhimin Zhang

Publication date: 5 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2009.07.001

zbMATH Keywords

martingaleexpected discounted penalty functionexpected discounted dividend paymentsMarkov-modulated diffusion risk model

Mathematics Subject Classification ID

Related Items (1)

Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier

Cites Work

• When does the surplus reach a given target?
• On the probability of ruin in a Markov-modulated risk model
• On the discounted penalty function in a Markov-dependent risk model
• On the first crossing of the surplus process with a given upper barrier
• Some characteristics of a surplus process in the presence of an upper barrier.
• When does surplus reach a certain level before ruin?
• Some results about the expected ruin time in Markov-modulated risk models
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• Approximations to ruin probability in the presence of an upper absorbing barrier
• A multi-dimensional martingale for Markov additive processes and its applications
• Risk theory in a Markovian environment
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• Markov-modulated diffusion risk models
• Optimal Dividends
• On the Time Value of Ruin

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