文章基本信息

标题：The Markovian Regime-Switching Risk Model with Constant Dividend Barrier under Absolute Ruin
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作者：Wenguang Yu ; Yujuan Huang
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2011
卷号：1
期号：3
页码：83-89
DOI：10.4236/jmf.2011.13011
出版社：Scientific Research Publishing
摘要：In this paper, we consider the dividend payments prior to absolute ruin in a Markovian regime-switching risk process in which the rate for the Poisson claim arrivals and the distribution of the claim amounts are driven by an underlying Markov jump process. A system of integro-differential equations with boundary conditions satisfied by the moment-generating function, the n th moment of the discounted dividend payments prior to absolute ruin and the expected discounted penalty function, given the initial environment state, are derived. Then, the matrix form of systems of integro-differential equations satisfied by the discounted penalty function are presented. Finally, we obtain the integro-differential equations satisfied by the time to reach the dividend barrier.
关键词：Absolute Ruin; Debit Interest; Moment-Generating Function; Markovian Regime-Switching Risk Model; Dividend Barrier; Integro-Differential Equation