Ruin probabilities of a dual Markov-modulated risk model

DOI10.1080/03610920802117080zbMATH Open1292.91100OpenAlexW2076412603MaRDI QIDQ5495071FDOQ5495071

Authors: Jinxia Zhu, Hailiang Yang 

Publication date: 30 July 2014

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920802117080

Recommendations

• Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model
• On the probability of ruin in a Markov-modulated risk model
• Ruin probabilities of Markov-modulated jump-diffusion risk model
• scientific article; zbMATH DE number 7266452
• Ruin probabilities for risk process in a regime-switching environment

zbMATH Keywords

stopping timelower boundupper bounddual modelmartingale approachultimate ruin probabilityfinite time ruin probabilityLundberg inequalityMarkov-modulated modelthe time to ruin

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Cites Work

• Optimal dividends in the dual model
• Aspects of risk theory
• Title not available (Why is that?)
• A CONVEXITY PROPERTY OF POSITIVE MATRICES

Cited In (25)

• Precommitted investment strategy versus time-consistent investment strategy for a dual risk model
• The perturbed dual risk model with constant interest and a threshold dividend strategy
• Optimal financing and dividend policy with Markovian switching regimes
• On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains
• Risk and duality in multidimensions
• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• On finite-time ruin probabilities in a generalized dual risk model with dependence
• Optimal dividend strategy with transaction costs for an upward jump model
• Duality in ruin problems for ordered risk models
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• A periodic dividend problem with inconstant barrier in Markovian environment
• On a dual model with a dividend threshold
• Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
• Statistical inference for partially observed Markov-modulated diffusion risk model
• Dividend problems in the dual risk model
• Strategies for dividend distribution: a review
• Title not available (Why is that?)
• Optimal dividend-equity issuance strategy in a dual model with fixed and proportional transaction costs
• Some advances on the Erlang(\(n\)) dual risk model
• Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
• Ruin Theory in a Hidden Markov-Modulated Risk Model
• A unifying approach to the analysis of business with random gains
• On dividends in the phase-type dual risk model
• On the dual risk model with Parisian implementation delays in dividend payments

This page was built for publication: Ruin probabilities of a dual Markov-modulated risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5495071)