The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier
DOI10.1007/s41980-020-00399-1zbMath1461.91085OpenAlexW3035292401MaRDI QIDQ2657891
Publication date: 15 March 2021
Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s41980-020-00399-1
Laplace transformintegro-differential equationdividendexpected discounted penalty functiontwo-sided jumps
Applications of statistics to actuarial sciences and financial mathematics (62P05) Integro-ordinary differential equations (45J05) Queueing theory (aspects of probability theory) (60K25) Stopping times; optimal stopping problems; gambling theory (60G40) Risk models (general) (91B05) Jump processes on discrete state spaces (60J74)
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Cites Work
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