Dividend Payments and Related Problems in a Markov-Dependent Insurance Risk Model under Absolute Ruin

Yu, Wenguang; Huang, Yubing

doi:10.4236/ajibm.2011.11001

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2016

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“…For example, see [7]- [9]. Yu and Huang [8] studied the dividend payments prior to absolute ruin in a Markov-dependent risk process. Zhou et al [9] proposed a Markov-dependent risk model with multi-layer dividend strategy.…”

Section: Introductionmentioning

confidence: 99%

Markov-Dependent Risk Model with Multi-Layer Dividend Strategy and Investment Interest under Absolute Ruin

Li¹,

Ma²

2016

JMF

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In this paper, we consider the Markov-dependent risk model with multi-layer dividend strategy and investment interest under absolute ruin, in which the claim occurrence and the claim amount are regulated by an external discrete time Markov chain. We derive systems of integro-differential equations satisfied by the moment-generating function, the nth moment of the discounted dividend payments prior to absolute ruin and the Gerber-Shiu function. Finally, the matrix form of systems of integro-differential equations satisfied by the Gerber-Shiu function is presented.

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Section: Introductionmentioning

confidence: 99%

Markov-Dependent Risk Model with Multi-Layer Dividend Strategy and Investment Interest under Absolute Ruin

Li¹,

Ma²

2016

JMF

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show abstract

Stochastic Finance of a Company Associated with Ruin, Restricted Reserve, Dividends and Dividend Strategy

Vittal

Thangaraj

Najeema³

2016

J Indian Soc Probab Stat

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Dividend Payments and Related Problems in a Markov-Dependent Insurance Risk Model under Absolute Ruin

Abstract: In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent

Cited by 2 publications

References 19 publications

Markov-Dependent Risk Model with Multi-Layer Dividend Strategy and Investment Interest under Absolute Ruin

Markov-Dependent Risk Model with Multi-Layer Dividend Strategy and Investment Interest under Absolute Ruin

Stochastic Finance of a Company Associated with Ruin, Restricted Reserve, Dividends and Dividend Strategy

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