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Constant Barrier Strategies in a Two-state Markov-modulated Dual Risk Model 被引量:3

Constant Barrier Strategies in a Two-state Markov-modulated Dual Risk Model
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摘要 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. 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.
出处 《Acta Mathematicae Applicatae Sinica》 SCIE CSCD 2011年第4期679-690,共12页 应用数学学报(英文版)
基金 Supported in part by the National Natural Science Foundation of China (No. 10971157) and the Ministry of Education of China
关键词 Dual risk model Markov-modulated risk model barrier strategy Dual risk model, Markov-modulated risk model, barrier strategy
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