When does surplus reach a given target before ruin in the Markov-modulated diffusion model?

作者：Yang Hu; Zhang Zhimin^*

来源：Journal of the Korean Statistical Society, 2010, 39(2): 207-219.

DOI：10.1016/j.jkss.2009.07.001

• Markov-modulated diffusion risk model
• Expected discounted penalty function
• Expected discounted dividend payments
• Martingale

In this paper, we consider a Markov-modulated diffusion risk model. We study when the surplus reaches a given level b (>= U(0)) before ruin. We show that the Laplace transform of such random time can be expressed via the expected discounted penalty functions. Finally, we modify the Markov-modulated diffusion model by a barrier dividend strategy, and give some expressions for the expected discounted penalty functions and the expected discounted dividend payments.

• 出版日期2010-6
• 单位重庆大学