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Article: Ruin theory for a Markov regime-switching model under a threshold dividend strategy

TitleRuin theory for a Markov regime-switching model under a threshold dividend strategy
Authors
KeywordsDeficit at Ruin
Dividend
Integro-Differential Equation
Markov Regime-Switching
Ruin Probability
Issue Date2008
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics and Economics, 2008, v. 42 n. 1, p. 311-318 How to Cite?
AbstractIn 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. © 2007 Elsevier Ltd. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/172444
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorZhu, Jen_US
dc.contributor.authorYang, Hen_US
dc.date.accessioned2012-10-30T06:22:33Z-
dc.date.available2012-10-30T06:22:33Z-
dc.date.issued2008en_US
dc.identifier.citationInsurance: Mathematics and Economics, 2008, v. 42 n. 1, p. 311-318en_US
dc.identifier.issn0167-6687en_US
dc.identifier.urihttp://hdl.handle.net/10722/172444-
dc.description.abstractIn 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. © 2007 Elsevier Ltd. All rights reserved.en_US
dc.languageengen_US
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_US
dc.relation.ispartofInsurance: Mathematics and Economicsen_US
dc.subjectDeficit at Ruinen_US
dc.subjectDividenden_US
dc.subjectIntegro-Differential Equationen_US
dc.subjectMarkov Regime-Switchingen_US
dc.subjectRuin Probabilityen_US
dc.titleRuin theory for a Markov regime-switching model under a threshold dividend strategyen_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1016/j.insmatheco.2007.03.004en_US
dc.identifier.scopuseid_2-s2.0-38649096282en_US
dc.identifier.hkuros142927-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-38649096282&selection=ref&src=s&origin=recordpageen_US
dc.identifier.volume42en_US
dc.identifier.issue1en_US
dc.identifier.spage311en_US
dc.identifier.epage318en_US
dc.identifier.isiWOS:000253326600029-
dc.publisher.placeNetherlandsen_US
dc.identifier.scopusauthoridZhu, J=7405692247en_US
dc.identifier.scopusauthoridYang, H=7406559537en_US

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