Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145011 | Journal of the Korean Statistical Society | 2010 | 13 Pages |
Abstract
In this paper, we consider a Markov-modulated diffusion risk model. We study when the surplus reaches a given level b(U(0)) before ruin. We show that the Laplace transform of such random time can be expressed via the expected discounted penalty functions. Finally, we modify the Markov-modulated diffusion model by a barrier dividend strategy, and give some expressions for the expected discounted penalty functions and the expected discounted dividend payments.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Hu Yang, Zhimin Zhang,