Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy

DOI10.1007/S10255-010-0016-ZMaRDI QIDQ601959zbMATH OpenOpenAlexFDO

Authors Wei Wang, Jing-Min He, Rong Wu

Publication date 29 October 2010

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-010-0016-z

zbMATH Keywords

barrier strategypiecewise deterministic Markov processweak infinitesimal generator

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Review text

The paper studies the smoothness of certain functions in two kinds of risk models with a barrier dividend strategy. They prove that these functions are continuously differentiable in the first risk model. Using the weak infinitesimal generator method of Markov processes, they also prove that these functions are twice continuously differentiable in the second risk model and satisfy a certain integro-differential equation.

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Cites work

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Cited in

(3)

• On differentiability of ruin functions under Markov-modulated models
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• scientific article; zbMATH DE number 2099774 (Why is no real title available?)

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