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Some results about the expected ruin time in Markov-modulated risk models

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  • Bauerle, Nicole

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  • Bauerle, Nicole, 1996. "Some results about the expected ruin time in Markov-modulated risk models," Insurance: Mathematics and Economics, Elsevier, vol. 18(2), pages 119-127, July.
    • Handle: RePEc:eee:insuma:v:18:y:1996:i:2:p:119-127
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    1. repec:cup:astinb:v:25:y:1995:i:01:p:49-66_00 is not listed on IDEAS
    2. repec:cup:astinb:v:14:y:1984:i:01:p:23-43_00 is not listed on IDEAS
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    Cited by:

    1. Zhu, Jinxia & Yang, Hailiang, 2008. "Ruin theory for a Markov regime-switching model under a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 311-318, February.
    2. Zhengjun Jiang & Martijn Pistorius, 2008. "Optimal dividend distribution under Markov-regime switching," Papers 0812.4978, arXiv.org, revised Apr 2011.
    3. Lu, Yi & Li, Shuanming, 2005. "On the probability of ruin in a Markov-modulated risk model," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 522-532, December.
    4. Sotomayor, Luz R. & Cadenillas, Abel, 2011. "Classical and singular stochastic control for the optimal dividend policy when there is regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 344-354, May.
    5. Zhu, Jinxia & Yang, Hailiang, 2009. "On differentiability of ruin functions under Markov-modulated models," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1673-1695, May.

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