Suppose that risk reserves of an insurance company are governed by a Markov-modulated classical risk model with parameters modulated by a finite-state irreducible Markov chain. The main purpose of this paper is to calculate ultimate ruin probability that ruin time, the first time when risk...

We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite state Markov chain, and model the discount rate as a...

This paper investigates risk-neutral price of European option under dividend barrier strategy when cumulative log-return during time interval [0,t] of the underlying stock in the absence of dividends follows a Brownian motion with drift. Such a dividend barrier strategy means that in the...

We study the problem of optimal dividend payments for a company of limited liability whose cash reserves in the absence of dividends follow a Markov-modulated jump-diffusion process with positive drifts, where parameters and the discount rate are modulated by a finite-state irreducible Markov...