A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy

2014 ◽  
Vol 54 ◽  
pp. 76-83 ◽  
Author(s):  
Xu Chen ◽  
Ting Xiao ◽  
Xiang-qun Yang
Keyword(s):  
Risk Model ◽  
Jump Diffusion ◽  
Threshold Dividend Strategy ◽  
Markov Modulated

scholarly journals Ruin problems in Markov-modulated risk models

2017 ◽  
Vol 12 (1) ◽  
pp. 23-48 ◽  
Author(s):  
David C.M. Dickson ◽  
Marjan Qazvini
Keyword(s):  
Continuous Time ◽  
Risk Model ◽  
Numerical Algorithms ◽  
Binomial Model ◽  
Risk Models ◽  
Time Of Ruin ◽  
Compound Binomial ◽  
Compound Binomial Model ◽  
Markov Modulated ◽  
The Time Of Ruin

AbstractChen et al. (2014), studied a discrete semi-Markov risk model that covers existing risk models such as the compound binomial model and the compound Markov binomial model. We consider their model and build numerical algorithms that provide approximations to the probability of ultimate ruin and the probability and severity of ruin in a continuous time two-state Markov-modulated risk model. We then study the finite time ruin probability for a discrete m-state model and show how we can approximate the density of the time of ruin in a continuous time Markov-modulated model with more than two states.

Constant barrier strategies in a two-state Markov-modulated dual risk model

2011 ◽  
Vol 27 (4) ◽  
pp. 679-690 ◽  
Author(s):  
Xue-min Ma ◽  
Kui Luo ◽  
Guang-ming Wang ◽  
Yi-jun Hu
Keyword(s):  
Risk Model ◽  
Dual Risk Model ◽  
Markov Modulated

scholarly journals Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales

2019 ◽  
Vol 15 (1) ◽  
pp. 293-318 ◽  
Author(s):  
Qing-Qing Yang ◽  
◽  
Wai-Ki Ching ◽  
Wanhua He ◽  
Tak-Kuen Siu ◽  
...  
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Fire Sales ◽  
Jump Diffusion Model ◽  
Markov Modulated ◽  
Vulnerable Options
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