Author(s)

Bangling Li^*, Shixia Ma

School of Sciences, Hebei University of Technology, Tianjin, China.

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.

Markov-Dependent Risk Model, Absolute Ruin, Multi-Layer Dividend Strategy, Gerber-Shiu Function, Investment Interest

Li, B. and Ma, S. (2016) Markov-Dependent Risk Model with Multi-Layer Dividend Strategy and Investment Interest under Absolute Ruin. Journal of Mathematical Finance, 6, 260-268. doi: 10.4236/jmf.2016.62022.