The Markovian Regime-Switching Risk Model with Constant Dividend Barrier under Absolute Ruin
نویسندگان
چکیده
منابع مشابه
The Markovian Regime-Switching Risk Model with Constant Dividend Barrier under Absolute Ruin
In this paper, we consider the dividend payments prior to absolute ruin in a Markovian regime-switching risk process in which the rate for the Poisson claim arrivals and the distribution of the claim amounts are driven by an underlying Markov jump process. A system of integro-differential equations with boundary conditions satisfied by the moment-generating function, the n th moment of the disc...
متن کاملDividend Payments and Related Problems in a Markov-Dependent Insurance Risk Model under Absolute Ruin
In this paper, we study the dividend payments prior to absolute ruin in a Markov-dependent risk process in which the claim occurrence and the claim amount are regulated by an external discrete time Markov chain. A system of integrodifferential equations with boundary conditions satisfied by the moment-generating function, the nth moment of the discounted dividend payments prior to absolute ruin...
متن کاملOptimal dividend distribution under Markov regime switching
In this paper we investigate the problem of optimal dividend distribution in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a drifted Brownian motion modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the current state of the chain. The objective is to maximize the expected cumulative discounted divi...
متن کاملThe Probabilities of Absolute Ruin in the Renewal Risk Model with Constant Force of Interest
In this paper we consider the probabilities of finiteand infinite-time absolute ruin in the renewal risk model with constant premium rate and constant force of interest. In the particular case of compound Poisson model, explicit asymptotic expressions for the finiteand infinite-time absolute ruin probabilities are given. For the general renewal risk model, we present an asymptotic expression fo...
متن کاملPricing Options with Credit Risk in Markovian Regime-Switching Markets
This paper investigates the valuation of European option with credit risk in a reduced formmodel when the stock price is driven by the so-called Markov-modulated jump-diffusion process, in which the arrival rate of rare events and the volatility rate of stock are controlled by a continuous-time Markov chain. We also assume that the interest rate and the default intensity follow the Vasicek mode...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mathematical Finance
سال: 2011
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2011.13011