A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy
DOI10.1016/J.INSMATHECO.2013.11.004zbMATH Open1289.91074OpenAlexW2040480995MaRDI QIDQ2015475FDOQ2015475
Authors: Xu Chen, Ting Xiao, Xiangqun Yang 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.11.004
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Cited In (14)
- General methods for bounding multidimensional ruin probabilities in regime-switching models
- Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
- Optimal financing and dividend policy with Markovian switching regimes
- A model about insurer with dividend and irregularly checking surplus
- Markov-dependent risk model with multi-layer dividend strategy
- Banach contraction principle and ruin probabilities in regime-switching models
- A generalization of Gerber's inequality for ruin probabilities in risk-switching models
- A markov-modulated risk model with transaction costs and threshold dividend strategy
- The perturbed compound Poisson risk model with proportional investment
- HJB and Fokker-Planck equations for river environmental management based on stochastic impulse control with discrete and random observation
- Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
- Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement
- On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions
- A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
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