Constant barrier strategies in a two-state Markov-modulated dual risk model

DOI10.1007/s10255-011-0113-7zbMath1268.91171MaRDI QIDQ1942156

Kui Luo, Guangming Wang, Xue-Min Ma, Hu, Yijun

Publication date: 18 March 2013

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-011-0113-7

zbMATH Keywords

barrier strategy; dual risk model; Markov-modulated risk model

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60J05: Discrete-time Markov processes on general state spaces

91G50: Corporate finance (dividends, real options, etc.)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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