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The decompositions of the discounted penalty functions and dividends-penalty identity in a Markov-modulated risk model

Shuanming Li, Yi Lu

Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association | CAMBRIDGE UNIV PRESS | Published : 2008

DOI: 10.2143/AST.38.1.2030402

University of Melbourne Researchers

Shuanming Li's Profile Picture
Shuanming Li Author Economics

Citation metrics

27Web of Science
31Scopus
22Dimensions

Keywords

Surplus
Statistics & Probability
Ruin
Expected Discounted Penalty Function
Time
Economics
Markov-Modulated Risk Model
Maximum Surplus Before Ruin
Physical Sciences
Dividends-Penalty Identity
Mathematics, Interdisciplinary Applications
Social Sciences
Barrier
Mathematics
Social Sciences, Mathematical Methods
Science & Technology
Business & Economics
Mathematical Methods in Social Sciences
Maximum Severity of Ruin

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