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Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity of the value function
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2010/12/8
This paper is concerned with cost optimization of an insurance company. The sur-plus of the insurance company is modeled by a controlled regime switching diffusion,where the regime switching mechanism...
Some Results for Classical Risk Process with Stochastic Return on Investments
ruin probability supremum distribution before ruin
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2007/12/11
In this paper, we discuss the classical risk process with stochastic return on investment. We prove some properties of the ruin probability, the supremum distribution before ruin and the surplus distr...
Ruin Theory for the Risk Process Described by PDMPs
risk process survivor function
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2007/12/11
In this paper we consider the risk process that is described by a piecewise deterministic Markov processes (PDMP). We first present the construction of the risk process and then discuss some ruin prob...