ON THE EXPECTED DISCOUNTED PENALTY FUNCTION IN A MARKOV-DEPENDENT RISK MODEL WITH CONSTANT DIVIDEND

• 作 者: 刘娟 徐建成 胡亦钧
• 机 构: CollegeofMathematicsandStatistics,SchoolofMathematicsandStatistics
• 出 处: 数学物理学报：B辑英文版
• 发表日期: 2010年5期
• 关键词: 风险模型 屏障功能 罚金函数 常数 积分微分方程 边界条件 环境状况 显式公式 Markov-dependent risk model dividend bar
• 基金项目: 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

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