The Markovian regime-switching risk model with a threshold dividend strategy

DOI10.1016/J.INSMATHECO.2008.04.004zbMATH Open1163.91438OpenAlexW1987489278MaRDI QIDQ1017771FDOQ1017771

Authors: Yi Lu, Shuanming Li 

Publication date: 12 May 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.04.004

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zbMATH Keywords

regime-switching modelintegro-differential equationGerber-Shiu functionthreshold dividend strategypresent value of dividend payments

Mathematics Subject Classification ID

Cites Work

• On the time to ruin for Erlang(2) risk processes.
• On Optimal Dividend Strategies In The Compound Poisson Model
• The Time Value of Ruin in a Sparre Andersen Model
• Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
• The compound Poisson risk model with multiple thresholds
• On the Time Value of Ruin
• Volterra integral and differential equations
• Risk theory in a Markovian environment
• Analysis of a threshold dividend strategy for a MAP risk model
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• On the discounted penalty function in a Markov-dependent risk model
• A Risk Model with Multilayer Dividend Strategy
• On a class of renewal risk models with a constant dividend barrier
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• The compound Poisson risk model with a threshold dividend strategy
• The Decompositions of the Discounted Penalty Functions and Dividends-Penalty Identity in a Markov-Modulated Risk Model
• Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model

Cited In (33)

• On a risk model with random incomes and dependence between claim sizes and claim intervals
• The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds
• On the Markov-modulated insurance risk model with tax
• On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
• The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
• Strategies for Dividend Distribution: A Review
• Number of claims and ruin time for a refracted risk process
• Iterative weak approximation and hard bounds for switching diffusion
• The distribution of total dividend payments in a Sparre Andersen model
• Joint and supremum distributions in the compound binomial model with Markovian environment
• On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy
• On a perturbed MAP risk model under a threshold dividend strategy
• The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process
• \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment
• Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
• Title not available (Why is that?)
• An alternating risk reserve process. I
• An alternating risk reserve process. II
• Survival probabilities in a discrete semi-Markov risk model
• Threshold dividend strategies for a Markov-additive risk model
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy
• On the analysis of a multi-threshold Markovian risk model
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Dividend optimisation: a behaviouristic approach
• Analysis of risk models using a level crossing technique
• Expected discounted dividends in a discrete semi-Markov risk model
• Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models
• A Risk Process with Delayed Claims and Constant Dividend Barrier
• Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims
• A Markov additive risk process with a dividend barrier
• Dividend payments in a risk model perturbed by diffusion with multiple thresholds

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