Lévy risk model with two-sided jumps and a barrier dividend strategy

DOI10.1016/j.insmatheco.2011.12.002zbMath1244.91044OpenAlexW3122406043MaRDI QIDQ2427836

Renming Song, Dan Tang, Xuewei Yang, Li Jun Bo, Yong Jin Wang

Publication date: 18 April 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.12.002

zbMATH Keywords

Laplace transformLévy processrisk modelbarrier strategydouble exponential distributiontwo-sided jumpsexpected discounted dividend

Mathematics Subject Classification ID

Related Items (11)

A hyper-Erlang jump-diffusion process and applications in finance ⋮ The Erlang(n) risk model with two-sided jumps and a constant dividend barrier ⋮ The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier ⋮ A hyper-exponential jump-diffusion model under the barrier dividend strategy ⋮ Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes ⋮ Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling ⋮ INTERNATIONAL RESERVE MANAGEMENT: A DRIFT‐SWITCHING REFLECTED JUMP‐DIFFUSION MODEL ⋮ Optimal processing rate and buffer size of a jump-diffusion processing system ⋮ FIRST PASSAGE TIMES OF REFLECTED GENERALIZED ORNSTEIN–UHLENBECK PROCESSES ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes ⋮ A note on Lévy risk model with two-sided phase-type jumps

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