Gambler's ruin problem in a Markov-modulated jump-diffusion risk model

DOI10.1080/03461238.2021.2025145MaRDI QIDQ5042786zbMATH OpenOpenAlexFDO

Authors Yuxuan Liu, Zhengjun Jiang, 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

zbMATH Keywords

\(q\)-scale functionBanach contraction principleMarkov-modulated jump-diffusion risk modeltwo-sided ruin probability

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial mathematics (91G05)

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Cites work

• Banach contraction principle and ruin probabilities in regime-switching models
• Complete discounted cash flow valuation
• Fluctuations of spectrally negative Markov additive processes
• Occupation densities in solving exit problems for Markov additive processes and their reflections
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• Optimal dividend distribution 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
• Optimal dividend policy when risk reserves follow a jump-diffusion process with a completely monotone jump density under Markov-regime switching
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• Ruin probabilities
• Smoothness of scale functions for spectrally negative Lévy processes

Cited in

(4)

• Extensions of gambler's ruin with even odds: multinomial and other models
• scientific article; zbMATH DE number 7470633 (Why is no real title available?)
• scientific article; zbMATH DE number 2217836 (Why is no real title available?)
• q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model

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