q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model

DOI10.1080/03461238.2022.2078221MaRDI QIDQ5878641zbMATH OpenOpenAlexWikidataFDO

Authors Yuxuan Liu, Zhengjun Jiang, Yiwen Zhang

Publication date 21 February 2023

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

Full work available at URL https://doi.org/10.1080/03461238.2022.2078221

zbMATH Keywords

\(q\)-scale functionBanach contraction principleMarkov-modulated jump-diffusion risk modelruin probability

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Processes in random environments (60K37) Actuarial mathematics (91G05)

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Cites work

• Banach contraction principle and ruin probabilities in regime-switching models
• Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model
• Complete discounted cash flow valuation
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• 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

(3)

• Banach contraction principle and ruin probabilities in regime-switching models
• Gambler's ruin problem in a Markov-modulated jump-diffusion risk model
• Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model

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