A markov-modulated risk model with transaction costs and threshold dividend strategy

2021 ◽  
pp. 1-17
Author(s):  
Feng Zhen Zou ◽  
Xu Chen
Keyword(s):  
Transaction Costs ◽  
Risk Model ◽  
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

Duration of negative surplus for a two state Markov-modulated risk model

2010 ◽  
Vol 30 (4) ◽  
pp. 1167-1173
Author(s):  
Ma Xuemin ◽  
Yuan Haili ◽  
Hu Yijun
Keyword(s):  
Risk Model ◽  
Markov Modulated

scholarly journals Numerical Method for a Markov-Modulated Risk Model with Two-Sided Jumps

2012 ◽  
Vol 2012 ◽  
pp. 1-9 ◽  
Author(s):  
Hua Dong ◽  
Xianghua Zhao
Keyword(s):  
Differential Equations ◽  
Numerical Method ◽  
Chebyshev Polynomial ◽  
Polynomial Approximation ◽  
Risk Model ◽  
Arbitrary Distribution ◽  
System Of Differential Equations ◽  
Numerical Result ◽  
Chebyshev Polynomial Approximation ◽  
Markov Modulated

This paper considers a perturbed Markov-modulated risk model with two-sided jumps, where both the upward and downward jumps follow arbitrary distribution. We first derive a system of differential equations for the Gerber-Shiu function. Furthermore, a numerical result is given based on Chebyshev polynomial approximation. Finally, an example is provided to illustrate the method.

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