Constant barrier strategies in a two-state Markov-modulated dual risk model |
| |
Authors: | Xue-min Ma Kui Luo Guang-ming Wang Yi-jun Hu |
| |
Institution: | (1) Shanghai, China;(2) Hong Kong, China;(3) Jinan, China |
| |
Abstract: | 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 integro-differential 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. |
| |
Keywords: | Dual risk model Markov-modulated risk model barrier strategy |
本文献已被 CNKI 维普 SpringerLink 等数据库收录! |
|