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

DOI10.1016/J.INSMATHECO.2008.04.004MaRDI QIDQ1017771zbMATHOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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Cites work

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

Cited in

(34)

• An alternating risk reserve process. I
• An alternating risk reserve process. II
• The discounted penalty function with multi-layer dividend strategy in the phase-type risk model
• Classical and singular stochastic control for the optimal dividend policy when there is regime switching
• A Markov additive risk process with a dividend barrier
• Iterative weak approximation and hard bounds for switching diffusion
• On a risk model with random incomes and dependence between claim sizes and claim intervals
• Number of claims and ruin time for a refracted risk process
• Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching
• Threshold dividend strategies for a Markov-additive risk model
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• A risk process with delayed claims and constant dividend barrier
• Joint and supremum distributions in the compound binomial model with Markovian environment
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
• A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy
• Dividend optimisation: a behaviouristic approach
• The expected discounted penalty function for two classes of risk processes perturbed by diffusion with multiple thresholds
• Strategies for dividend distribution: a review
• The maximum surplus before ruin and related problems in a jump-diffusion renewal risk process
• Survival probabilities in a discrete semi-Markov risk model
• On the analysis of a multi-threshold Markovian risk model
• Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims
• On a perturbed MAP risk model under a threshold dividend strategy
• \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment
• On the Markov-modulated insurance risk model with tax
• Expected discounted dividends in a discrete semi-Markov risk model
• Gerber-Shiu theory for discrete risk processes in a regime switching environment
• Dividend payments in a risk model perturbed by diffusion with multiple thresholds
• Analysis of risk models using a level crossing technique
• scientific article; zbMATH DE number 7408837 (Why is no real title available?)
• The distribution of total dividend payments in a Sparre Andersen model
• Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models
• On the expected discounted penalty function for a risk model with dependence under a multi-layer dividend strategy

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