TITLE:
Markov-Dependent Risk Model with Multi-Layer Dividend Strategy and Investment Interest under Absolute Ruin
AUTHORS:
Bangling Li, Shixia Ma
KEYWORDS:
Markov-Dependent Risk Model, Absolute Ruin, Multi-Layer Dividend Strategy, Gerber-Shiu Function, Investment Interest
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.6 No.2,
March
9,
2016
ABSTRACT: In this paper, we consider the Markov-dependent risk model with multi-layer dividend strategy and investment interest under absolute ruin, in which the claim occurrence and the claim amount are regulated by an external discrete time Markov chain. We derive systems of integro-differential equations satisfied by the moment-generating function, the nth moment of the discounted dividend payments prior to absolute ruin and the Gerber-Shiu function. Finally, the matrix form of systems of integro-differential equations satisfied by the Gerber-Shiu function is presented.