Risk modelling on liquidations with Lévy processes

DOI10.1016/j.amc.2021.126584OpenAlexW3195827646MaRDI QIDQ2246056

Wenyuan Wang, Aili Zhang, Shuanming Li, Ping Chen

Publication date: 15 November 2021

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

Full work available at URL: https://arxiv.org/abs/2007.01426

zbMATH Keywords

spectrally negative Lévy process expected discounted penalty function discounted joint probability density liquidation probability liquidation time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Risk models (general) (91B05) Actuarial mathematics (91G05)

Related Items (3)

The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers

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