A periodic dividend problem with inconstant barrier in Markovian environment

DOI10.1007/S10114-015-4228-2MaRDI QIDQ2355462zbMATH OpenOpenAlexFDO

Authors Fang Jin, Hui Ou, Xiangqun Yang

Publication date 23 July 2015

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10114-015-4228-2

zbMATH Keywords

contraction mapping principlediscounted dividendsinconstant barrierMarkovian environmentperiodic dividend problemruin time

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Processes in random environments (60K37)

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Cites work

• A risk model with paying dividends and random environment
• Compound binomial risk model in a Markovian environment
• On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized onservation periods for the compound Poisson risk model: dividends
• Risk theory in a Markovian environment
• Ruin Probabilities in the Compound Markov Binomial Model
• Ruin probabilities of a dual Markov-modulated risk model
• The compound binomial model with a constant dividend barrier and periodically paid dividends

Cited in

(2)

• An optimal control problem in a risk model with stochastic premiums and periodic dividend payments
• Dividend optimization problem in the moving average risk model

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