Omega diffusion risk model with surplus-dependent tax and capital injections
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Publication:320287
DOI10.1016/j.insmatheco.2016.03.012zbMath1369.91080OpenAlexW3125191322MaRDI QIDQ320287
Publication date: 6 October 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.012
occupation timeAzéma-Yor processomega risk modelreflected diffusionsrisk model with taxtime-homogeneous diffusion
Related Items (3)
A general method for analysis and valuation of drawdown risk ⋮ Tax optimization with a terminal value for the Lévy risk processes ⋮ Pricing American drawdown options under Markov models
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