Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model

DOI10.1080/03461238.2021.1958917MaRDI QIDQ5073018zbMATH OpenOpenAlexFDO

Authors Zhengjun Jiang

Publication date 5 May 2022

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2021.1958917

zbMATH Keywords

\(q\)-scale functionBanach contraction principleMarkov propertyMarkov-modulated classical risk modelruin probability

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Processes in random environments (60K37) Actuarial mathematics (91G05)

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Cites work

• Banach contraction principle and ruin probabilities in regime-switching models
• Complete discounted cash flow valuation
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• 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

Cited in

(5)

• Banach contraction principle and ruin probabilities in regime-switching models
• Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
• Approximations of the ultimate ruin probability in the classical risk model using the Banach's fixed-point theorem and the continuity of the ruin probability
• q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model
• Some continuity estimates for ruin probability and other ruin-related quantities

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