On the Dividend for the Markov-Switching Risk Model

被引：0

作者：

Meng, Qingbin ^{[1
]}

Li, Zhendong ^{[2
]}

Zhang, Peng ^{[1
]}

机构：

[1] Nankai Univ, Sch Econ, Tianjin 3000710086, Peoples R China

[2] Tangshan Coll, Basic Educ Dept, Tangshan 063000, Peoples R China

来源：

2008 4TH INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-31 | 2008年

关键词：

Dividends; Markov-Switching; Risk Model;

D O I：

暂无

中图分类号：

TN [电子技术、通信技术];

学科分类号：

0809 ;

摘要：

This paper considers a optimal dividend problem for a company whose asset follows a Markov-modulated risk model. In the two-state Markov-Switching setting, explicit formulas for the expected discounted dividends and the expected time of ruin are derived when the dividend strategy follows a constant barrier dividend strategy.

引用

页码：9827 / +

页数：2

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