Randomized dividends in the Markov-modulated Pascal model with stochastic interest rates

MaRDI QIDQ4688572zbMATH OpenFDO

Authors Hui Ou, Ya Huang, Jieming Zhou

Publication date 22 October 2018

zbMATH Keywords

Lundberg inequalityMarkov-modulationPascal risk modelruin probability

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(4)

• Ruin probability estimates in the Pascal model with Markov-modulated premium rate under random interest
• The compound Pascal model with dividends paid under random interest
• Pascal model with Markov-modulated premium rate under random interest
• A note on the compound binomial model with randomized dividend strategy

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