caa a22 4500 44583093X CHVBK 20180317145314.0 cr unu---uuuuu 170323e20111001xx s 000 0 eng 10.1007/s10255-011-0113-7 doi (NATIONALLICENCE)springer-10.1007/s10255-011-0113-7 Constant barrier strategies in a two-state Markov-modulated dual risk model [Elektronische Daten] [Xue-min Ma, Kui Luo, Guang-ming Wang, Yi-jun Hu] In this paper, we consider the dividend problem in a two-state Markov-modulated dual risk model, in which the gain arrivals, gain sizes and expenses are influenced by a Markov process. A system of integro-differential equations for the expected value of the discounted dividends until ruin is derived. In the case of exponential gain sizes, the equations are solved and the best barrier is obtained via numerical example. Finally, using numerical example, we compare the best barrier and the expected discounted dividends in the two-state Markov-modulated dual risk model with those in an associated averaged compound Poisson risk model. Numerical results suggest that one could use the results of the associated averaged compound Poisson risk model to approximate those for the two-state Markov-modulated dual risk model. Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg, 2011 Dual risk model nationallicence Markov-modulated risk model nationallicence barrier strategy nationallicence Ma Xue-min School of Mathematics and Statistics, Wuhan University, 430072, Wuhan, China aut Luo Kui School of Mathematics and Statistics, Wuhan University, 430072, Wuhan, China aut Wang Guang-ming School of Mathematics and Statistics, Wuhan University, 430072, Wuhan, China aut Hu Yi-jun School of Mathematics and Statistics, Wuhan University, 430072, Wuhan, China aut Acta Mathematicae Applicatae Sinica, English Series Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society 27/4(2011-10-01), 679-690 0168-9673 27:4<679 2011 27 10255 https://doi.org/10.1007/s10255-011-0113-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s10255-011-0113-7 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Ma Xue-min School of Mathematics and Statistics, Wuhan University, 430072, Wuhan, China aut NATIONALLICENCE 700 1- Luo Kui School of Mathematics and Statistics, Wuhan University, 430072, Wuhan, China aut NATIONALLICENCE 700 1- Wang Guang-ming School of Mathematics and Statistics, Wuhan University, 430072, Wuhan, China aut NATIONALLICENCE 700 1- Hu Yi-jun School of Mathematics and Statistics, Wuhan University, 430072, Wuhan, China aut NATIONALLICENCE 773 0- Acta Mathematicae Applicatae Sinica, English Series Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society 27/4(2011-10-01), 679-690 0168-9673 27:4<679 2011 27 10255 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer