Expected discounted dividends in a discrete semi-Markov risk model

DOI10.1016/J.CAM.2014.01.026MaRDI QIDQ2511296zbMATH OpenOpenAlexFDO

Authors Mi Chen, X. Wu, Junyi Guo

Publication date 5 August 2014

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2014.01.026

zbMATH Keywords

dividend generating function invertible recursive formula semi-Markov risk model

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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Cites work

A note on the expected present value of dividends with a constant barrier in the discrete time model
A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
An elementary approach to discrete models of dividend strategies
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
Classical and singular stochastic control for the optimal dividend policy when there is regime switching
Constant dividend barrier in a risk model with interclaim-dependent claim sizes
On a class of renewal risk models with a constant dividend barrier
On a Classical Risk Model with a Constant Dividend Barrier
On differentiability of ruin functions under Markov-modulated models
On the discounted penalty function in a Markov-dependent risk model
On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
On the Distribution of the Surplus Prior to Ruin in a Discrete Semi-Markov Risk Model
On the joint distribution of surplus before and after ruin under a Markovian regime switching model
On the probability of ruin in a Markov-modulated risk model
On the ruin problem in a Markov-modulated risk model
On the severity of ruin in a Markov-modulated risk model
Ruin theory for a Markov regime-switching model under a threshold dividend strategy
Some Optimal Dividends Problems
The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
The distribution of total dividend payments in a Sparre Andersen model
The Markovian regime-switching risk model with a threshold dividend strategy
The severity of ruin in a discrete semi-Markov risk model

Cited in

(10)

Survival probabilities in a discrete semi-Markov risk model
On a discrete Markov-modulated risk model with random premium income and delayed claims
Variance matters (in stochastic dividend discount models)
Markov-dependent risk model with multi-layer dividend strategy
A note on a discrete time MAP risk model
Estimating discrete dividends by no-arbitrage
On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates
On a discrete interaction risk model with delayed claims and randomized dividends
The dividend problems for a discrete Markov risk model with stochastic return
On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends

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