Constant Barrier Strategies in a Two-state Markov-modulated Dual Risk Model
查看参考文献15篇
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文摘
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In this paper, we consider the dividend problem in a two-state Markov-modulated dual risk model, in which the gain arrivals, gain sizes and expenses are influenced by a Markov process. A system of integrodifferential equations for the expected value of the discounted dividends until ruin is derived. In the case of exponential gain sizes, the equations are solved and the best barrier is obtained via numerical example. Finally, using numerical example, we compare the best barrier and the expected discounted dividends in the two-state Markov-modulated dual risk model with those in an associated averaged compound Poisson risk model. Numerical results suggest that one could use the results of the associated averaged compound Poisson risk model to approximate those for the two-state Markov-modulated dual risk model. |
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来源
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Acta Mathematicae Applicatae Sinica-English Series
,2011,27(4):679-690 【核心库】
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DOI
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10.1007/s10255-011-0113-7
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关键词
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Dual risk model
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Markov-modulated risk model
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barrier strategy
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地址
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School of Mathematics and Statistics, Wuhan University, Wuhan, 430072
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语种
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英文 |
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文献类型
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研究性论文 |
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ISSN
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0168-9673 |
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学科
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数学 |
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基金
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国家自然科学基金
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国家教育部项目
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文献收藏号
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CSCD:4323986
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参考文献 共
15
共1页
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