Shija, G.; Jacob, M.J. - In: International Journal of Computational Economics and … 5 (2015) 2, pp. 183-198
In this paper we consider a Markov-modulated dual risk reserve process with a multi-threshold dividend strategy. We study the risk reserve process that can start at any level of the threshold. An integral equation for the conditional non-ruin probability is obtained. Further in two states, we...