When does surplus reach a given target before ruin in the Markov-modulated diffusion model?

다국어 초록 (Multilingual Abstract)

In this paper, we consider a Markov-modulated diffusion risk model. We study when the surplus reaches a given level b .U.0// before ruin. We show that the Laplace transform of such random time can be expressed via the expected discounted penalty functions.
Finally, we modify the Markov-modulated diffusion model by a barrier dividend strategy,and give some expressions for the expected discounted penalty functions and the expected discounted dividend payments.

참고문헌 (Reference)

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