On a doubly reflected risk process with running maximum dependent reflecting barriers

DOI10.1016/j.cam.2022.114880zbMath1505.91137OpenAlexW4306740378MaRDI QIDQ2104057

Publication date: 9 December 2022

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2022.114880

zbMATH Keywords

potential measure capital injections dividends doubly reflected risk process historic record high dependent reflecting barriers

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Corporate finance (dividends, real options, etc.) (91G50) Risk models (general) (91B05)

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