On differentiability of ruin functions under Markov-modulated models

DOI10.1016/J.SPA.2008.08.007MaRDI QIDQ1016634zbMATH OpenOpenAlexFDO

Authors 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

differentiabilitydual modelGerber-Shiu functionstrong Markov propertyMarkov-modulated modelruin function

Mathematics Subject Classification ID

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Cites work

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

Cited in

(19)

• Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
• Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
• Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest
• Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
• On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
• Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion
• Differentiability and asymptotic properties of Gerber-Shiu function associated with absolute ruin time for a risk model with random premium incomes
• Dividend optimization for a regime-switching diffusion model with restricted dividend rates
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Survival probabilities in a discrete semi-Markov risk model
• Optimal dividend control for a generalized risk model with investment incomes and debit interest
• Expected discounted dividends in a discrete semi-Markov risk model
• Dividend optimization for regime-switching general diffusions
• Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model
• Numerical method for a Markov-modulated risk model with two-sided jumps
• A class of non-zero-sum stochastic differential investment and reinsurance games
• Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy
• On differentiability of the non-ruin probability of an insurance company in models with constant interest rate
• Cramér–Lundberg asymptotics for spectrally positive Markov additive processes

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