In this paper,a Markov-dependent risk model with a threshold strategy is considered. The expected discounted dividend payments satisfy some integro-differential equations. The analytical solutions to these systems are...In this paper,a Markov-dependent risk model with a threshold strategy is considered. The expected discounted dividend payments satisfy some integro-differential equations. The analytical solutions to these systems are given. Finally,some numerical exam-ples in some special cases are provided.展开更多
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 Gerb...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.展开更多
基金Supported by the Science and Technology Foundation of Hubei Province (D20092207)the Hubei Normal University Post-Graduate Foundation (2010C17)
文摘In this paper,a Markov-dependent risk model with a threshold strategy is considered. The expected discounted dividend payments satisfy some integro-differential equations. The analytical solutions to these systems are given. Finally,some numerical exam-ples in some special cases are provided.
基金Supported by the Science Technology Foundation of Hubei Province (D20092207)the Hubei Normal University Post-Graduate Foun-dation (2010C17)
文摘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.
