کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077374 1374127 2008 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Ruin theory for a Markov regime-switching model under a threshold dividend strategy
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Ruin theory for a Markov regime-switching model under a threshold dividend strategy
چکیده انگلیسی
In this paper, we study a Markov regime-switching risk model where dividends are paid out according to a certain threshold strategy depending on the underlying Markovian environment process. We are interested in these quantities: ruin probabilities, deficit at ruin and expected ruin time. To study them, we introduce functions involving the deficit at ruin and the indicator of the event that ruin occurs. We show that the above functions and the expectations of the time to ruin as functions of the initial capital satisfy systems of integro-differential equations. Closed form solutions are derived when the underlying Markovian environment process has only two states and the claim size distributions are exponential.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 42, Issue 1, February 2008, Pages 311-318
نویسندگان
, ,