马氏相依风险模型红利折现的矩

Abstract

Abstract:

In this paper, a Markov-dependent risk model with a constant dividend barrier is considered. A system of
integro-differential equations with boundary conditions satisfied by the expected present value of the total dividends prior to ruin and the moments of the discounted dividends, given the initial environment state, are derived and solved. In two-state model, explicit solutions to the integro-differential equations are obtained when claim size distributions are exponentially distributed. .

Key words: Markov-dependent risk model, Dividend barrier, Integro-differential equation, Laplace transform

CLC Number:

60J05

Cite this article

LIU Juan, XU Jian-Cheng. Moments of the Discounted Dividends and Related Problems in a Markov-dependent Risk Model[J].Acta mathematica scientia,Series A, 2009, 29(5): 1390-1397.

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Moments of the Discounted Dividends and Related Problems in a Markov-dependent Risk Model

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