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The Markov-Dependent Risk Model with a Threshold Dividend Strategy

The Markov-Dependent Risk Model with a Threshold Dividend Strategy
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摘要 This paper studies a Markov-dependent risk model in which the claim occurrence and the claim amount are regulated by an external discrete time Markov process. Integro-differential equations in matrix form for the Gerber-Shiu discounted penalty function are presented. Then the analytical solutions to the equations are derived. Finally, in the two-state model, some numerical results are obtained when claim amount is exponentially distributed. This paper studies a Markov-dependent risk model in which the claim occurrence and the claim amount are regulated by an external discrete time Markov process. Integro-differential equations in matrix form for the Gerber-Shiu discounted penalty function are presented. Then the analytical solutions to the equations are derived. Finally, in the two-state model, some numerical results are obtained when claim amount is exponentially distributed.
作者 LIU Juan XU Jiancheng HU Hongchang
机构地区 School of Mathematics and Statistics
出处 《Wuhan University Journal of Natural Sciences》 CAS 2011年第3期193-198,共6页 武汉大学学报（自然科学英文版）
基金 Supported by the Science Technology Foundation of Hubei Province (D20092207) the Hubei Normal University Post-Graduate Foun-dation (2010C17)
关键词 Markov-dependent threshold dividend strategy Gerber-Shiu function analytical solution Markov-dependent threshold dividend strategy Gerber-Shiu function analytical solution
分类号 O211.9 [理学—概率论与数理统计]
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参考文献14

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共引文献1

Wuhan University Journal of Natural Sciences
2011年 第3期

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