The Markovian regime-switching risk model with a threshold dividend strategy

Insurance: Mathematics and Economics

Volumn 44, Issue 2, 2009, Pages 296-303

  Lu, Yi ^a   Li, Shuanming ^b  

^a SIMON FRASER UNIVERSITY   (Canada)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

C02; Gerber Shiu function; Integro differential equation; Present value of dividend payments; Regime switching model; Threshold dividend strategy

Indexed keywords

EID: 63449116254     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2008.04.004     Document Type: Article

References (21)

1. Albrecher H., and Boxma O.J. On the discounted penalty function in a Markov-dependent risk model. Insurance: Mathematics and Economics 37 (2005) 650-672
2. Albrecher H., and Hartinger J. A risk model with multilayer dividend strategy. North American Actuarial Journal 11 2 (2007) 43-64
3. Asmussen S. Risk theory in a Markovian environment. Scandinavian Actuarial Journal (1989) 69-100
4. Asmussen S. Ruin Probabilities (2000), World Scientific, Singapore
5. Badescu A., Drekic S., and Landriault D. Analysis of a threshold dividend strategy for a MAP risk model. Scandinavian Actuarial Journal (2007) 227-247
6. Burton T.A. Volterra Integral and Differential Equations (2005), World Scientific, Singapore
7. Dickson D.C.M., and Hipp C. On the time to ruin for Erlang(2) risk process. Insurance: Mathematics and Economics 29 (2001) 333-344
8. Gerber H.U., and Shiu E.S.W. On the time value of ruin. North American Actuarial Journal 2 1 (1998) 48-78
9. Gerber H.U., and Shiu E.S.W. The time value of ruin in a Sparre Andersen model. North American Actuarial Journal 9 2 (2005) 49-69
10. Gerber H.U., and Shiu E.S.W. On optimal dividend strategies in the compound Poisson model. North American Actuarial Journal 10 2 (2006) 76-93 Discussions, 10(3), 68-84
11. Li S., and Garrido J. On a class of renewal risk models with a constant dividend barrier. Insurance: Mathematics and Economics 35 (2004) 691-701
12. Li S., and Lu Y. Moments of the dividend payments and related problems in a Markov-modulated risk model. North American Actuarial Journal 11 2 (2007) 65-76
13. Li, S., Lu, Y., 2008. The decompositions of the discounted penalty functions and dividends-penalty identity in a Markov-modulated risk model. ASTIN Bulletin 38 (in press)
14. Lin X.S., and Pavlova K.P. The compound Poisson risk model with a threshold dividend strategy. Insurance: Mathematics and Economics 38 (2006) 57-80
15. Lin X.S., and Sendova K.P. The compound Poisson risk model with multiple thresholds. Insurance: Mathematics and Economics 42 (2008) 617-627
16. Lu Y., and Tsai C.C.L. The expected discounted penalty at ruin for a Markov-modulated risk process perturbed by diffusion. North American Actuarial Journal 11 2 (2007) 136-152
17. Ng A.C.Y., and Yang H. On the joint distribution of surplus before and after ruin under a Markovian regime switching model. Stochastic Processes and their Applications 116 (2006) 244-266
18. Reinhard J.M. On a class of semi-Markov risk models obtained as classical risk models in a Markovian environment. ASTIN Bulletin 14 (1984) 23-43
19. Yang H., and Zhang Z. Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy. Insurance: Mathematics and Economics (2008) 10.1016/j.insmatheco.2007.11.004
20. Zhou X. Classical risk model with multi-layer premium rate. Actuarial Research Clearing House (2007). http://soa.org/news-and-publications/publications/proceeding/arch.2007.1
21. Zhu J., and Yang H. Ruin theory for a Markov regime-switching model under a threshold dividend strategy. Insurance: Mathematics and Economics 42 (2008) 311-318