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

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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