Gambler's ruin problem in a Markov-modulated jump-diffusion risk model-Reference-Cited by-同舟云学术

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Gambler's ruin problem in a Markov-modulated jump-diffusion risk model

Published:2022-01-24 Issue:8 Volume:2022 Page:682-694
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Liu Yuxuan¹,Jiang Zhengjun²,Qu Yixin²

Affiliation:

1. School of Computer Science and Cybersecurity, Communication University of China, Chaoyang District, Beijing, People's Republic of China

2. Statistics Programme, Division of Science and Technology, BNU-HKBU United International College, Zhuhai, Guangdong, People's Republic of China

Funder

BNU-HKBU United International College Start-up Research Fund

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2021.2025145

Reference14 articles.

1. Ruin Probabilities

2. OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS

3. Smoothness of scale functions for spectrally negative Lévy processes

4. Cramér, H. (1930). On the mathematical theory of risk. Skandia Jubilee Volume, Stockholm.

5. Egami, M. & Yamazaki, K. (2010). On scale functions of spectrally negative lévy processes with phase-type jumps. https://www.researchgate.net/publication/238195659.

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