Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
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Publication:5042786
DOI10.1080/03461238.2021.2025145zbMath1501.91157OpenAlexW4207027020MaRDI QIDQ5042786
Zhengjun Jiang, Yuxuan Liu, Yixin Qu
Publication date: 26 October 2022
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2021.2025145
Banach contraction principle\(q\)-scale functionMarkov-modulated jump-diffusion risk modeltwo-sided ruin probability
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)
Cites Work
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- Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching
- OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS
- Optimal Dividend Policy when Cash Reserves Follow a Jump-Diffusion Process Under Markov-Regime Switching
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