When does surplus reach a given target before ruin in the Markov-modulated diffusion model?

DOI10.1016/j.jkss.2009.07.001zbMath1294.91081MaRDI QIDQ2511333

Hu Yang, Zhimin Zhang

Publication date: 5 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2009.07.001

zbMATH Keywords

martingale; expected discounted penalty function; expected discounted dividend payments; Markov-modulated diffusion risk model

Mathematics Subject Classification ID

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier

Cites Work

• When does the surplus reach a given target?
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• Some results about the expected ruin time in Markov-modulated risk models
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• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
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• Optimal Dividends
• On the Time Value of Ruin