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- Publisher Website: 10.1016/j.insmatheco.2007.03.004
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Article: Ruin theory for a Markov regime-switching model under a threshold dividend strategy
Title | Ruin theory for a Markov regime-switching model under a threshold dividend strategy |
---|---|
Authors | |
Keywords | Deficit at Ruin Dividend Integro-Differential Equation Markov Regime-Switching Ruin Probability |
Issue Date | 2008 |
Publisher | Elsevier 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? |
Abstract | 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. © 2007 Elsevier Ltd. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/172444 |
ISSN | 2023 Impact Factor: 1.9 2023 SCImago Journal Rankings: 1.113 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Zhu, J | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2012-10-30T06:22:33Z | - |
dc.date.available | 2012-10-30T06:22:33Z | - |
dc.date.issued | 2008 | en_US |
dc.identifier.citation | Insurance: Mathematics and Economics, 2008, v. 42 n. 1, p. 311-318 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/172444 | - |
dc.description.abstract | 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. © 2007 Elsevier Ltd. All rights reserved. | en_US |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.subject | Deficit at Ruin | en_US |
dc.subject | Dividend | en_US |
dc.subject | Integro-Differential Equation | en_US |
dc.subject | Markov Regime-Switching | en_US |
dc.subject | Ruin Probability | en_US |
dc.title | Ruin theory for a Markov regime-switching model under a threshold dividend strategy | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.1016/j.insmatheco.2007.03.004 | en_US |
dc.identifier.scopus | eid_2-s2.0-38649096282 | en_US |
dc.identifier.hkuros | 142927 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-38649096282&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 42 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 311 | en_US |
dc.identifier.epage | 318 | en_US |
dc.identifier.isi | WOS:000253326600029 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.scopusauthorid | Zhu, J=7405692247 | en_US |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_US |
dc.identifier.issnl | 0167-6687 | - |