Ruin theory for a Markov regime-switching model under a threshold dividend strategy
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Publication:939367
DOI10.1016/J.INSMATHECO.2007.03.004zbMATH Open1141.91558OpenAlexW2016078616MaRDI QIDQ939367FDOQ939367
Authors: Jinxia Zhu, Hailiang Yang 
Publication date: 22 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.03.004
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Cites Work
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- Title not available (Why is that?)
- On the probability of ruin in a Markov-modulated risk model
- The compound Poisson risk model with a threshold dividend strategy
- Some results about the expected ruin time in Markov-modulated risk models
- Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model
Cited In (29)
- On the Markov-modulated insurance risk model with tax
- On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
- Estimating the parameters of a seasonal Markov-modulated Poisson process
- Number of claims and ruin time for a refracted risk process
- On a discrete Markov-modulated risk model with random premium income and delayed claims
- The Markovian regime-switching risk model with a threshold dividend strategy
- Perturbed MAP Risk Models with Dividend Barrier Strategies
- Joint and supremum distributions in the compound binomial model with Markovian environment
- Deficit distributions at ruin in a regime-switching Sparre Andersen model
- \(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment
- Ruin theory under a generalized jump-diffusion model with regime switching
- On a multi-dimensional risk model with regime switching
- On a reduced form credit risk model with common shock and regime switching
- Strategies for dividend distribution: a review
- Survival probabilities in a discrete semi-Markov risk model
- Optimal dividend distribution under Markov regime switching
- Absolute ruin for a risk model with credit and debit interest under a threshold dividend strategy
- Constant barrier strategies in a two-state Markov-modulated dual risk model
- The impact of negative interest rates on optimal capital injections
- On differentiability of ruin functions under Markov-modulated models
- Numerical method for a Markov-modulated risk model with two-sided jumps
- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
- A unified analysis of claim costs up to ruin in a Markovian arrival risk model
- Expected discounted dividends in a discrete semi-Markov risk model
- Dividend optimization for regime-switching general diffusions
- Optimal dividends and capital injection: a general Lévy model with extensions to regime-switching models
- Insurance claims modulated by a hidden Brownian marked point process
- A Markov additive risk process with a dividend barrier
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