Moments of the dividend payments and related problems in a Markov-modulated risk model

DOI10.1080/10920277.2007.10597448zbMATH Open1480.91222OpenAlexW2030027690MaRDI QIDQ5019727FDOQ5019727

Authors: Shuanming Li, Yi Lu 

Publication date: 10 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597448

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Mathematics Subject Classification ID

Actuarial mathematics (91G05) Integro-ordinary differential equations (45J05)

Cites Work

• Optimal choice of dividend barriers for a risk process with stochastic return on investments
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• On optimal dividend strategies in the compound Poisson model
• Title not available (Why is that?)
• Optimal Dividends
• Risk theory in a Markovian environment
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• Bounds for the ruin probability under a markovian modulated risk model
• Some Optimal Dividends Problems
• On a class of renewal risk models with a constant dividend barrier
• The maximum surplus before ruin in an Erlang\((n)\) risk process and related problems
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• Title not available (Why is that?)
• On the probability of ruin in a Markov-modulated risk model
• On optimal dividends: from reflection to refraction
• Games of Economic Survival with Discrete- and Continuous-Income Processes
• On the probability of ruin in the presence of a linear dividend barrier
• Risk theory with a nonlinear dividend barrier
• The severity of ruin in Markov-modulated risk models
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
• Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
• Some results about the expected ruin time in Markov-modulated risk models
• Title not available (Why is that?)
• On the severity of ruin in a Markov-modulated risk model
• Estimation of the Lundberg coefficient for a Markov modulated risk model

Cited In (22)

• Some state-specific exit probabilities in a Markov-modulated risk model
• The absolute ruin insurance risk model with a threshold dividend strategy
• Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
• The Markovian regime-switching risk model with a threshold dividend strategy
• The distribution of total dividend payments in a Sparre Andersen model
• The Expected Discounted Penalty at Ruin for a Markov-Modulated Risk Process Perturbed by Diffusion
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• A periodic dividend problem with inconstant barrier in Markovian environment
• A risk model with paying dividends and random environment
• Moments of the discounted dividends and related problems in a Markov-dependent risk model
• A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model
• When does surplus reach a given target before ruin in the Markov-modulated diffusion model?
• Randomized dividends in the Markov-modulated Pascal model with stochastic interest rates
• Optimal dividend-payout in an MAP risk model
• Strategies for dividend distribution: a review
• A perturbed Markov-modulated dual risk model with constant dividend barrier
• Analysis of a generalized penalty function in a semi-Markovian risk model
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Analysis of risk models using a level crossing technique
• Moments of the discounted dividends in a threshold-typ Markovian risk process
• Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
• The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier

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