Acta mathematica scientia, Series B >
ON THE EXPECTED DISCOUNTED PENALTY FUNCTION IN A MARKOV-DEPENDENT RISK MODEL WITH CONSTANT DIVIDEND BARRIER
Received date: 2008-10-24
Online published: 2010-09-20
Supported by
This work was supported in part by Hubei Normal University Post-graduate Foundation (2007D59 and 2007D60), the Science and Technology foundation of Hubei (D20092207), and the National Natural Science Foundation of China (10671149).
This article considers a Markov-dependent risk model with a constant dividend barrier. A system of integro-differential equations with boundary conditions satisfied by the expected discounted penalty function, with given initial environment state, is derived and solved. Explicit formulas
for the discounted penalty function are obtained when the initial surplus is zero or when all the claim amount distributions are from rational family. In two state model, numerical illustrations with exponential claim amounts are given.
LIU Juan , XU Jian-Cheng , HU Yi-Jun . ON THE EXPECTED DISCOUNTED PENALTY FUNCTION IN A MARKOV-DEPENDENT RISK MODEL WITH CONSTANT DIVIDEND BARRIER[J]. Acta mathematica scientia, Series B, 2010 , 30(5) : 1481 -1491 . DOI: 10.1016/S0252-9602(10)60140-3
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