A note on Lévy risk model with two-sided phase-type jumps

DOI10.2298/FIL1713209MzbMath1499.91099MaRDI QIDQ5020403

Tatjana Slijepčević-Manger

Publication date: 5 January 2022

Published in: Filomat (Search for Journal in Brave)

zbMATH Keywords

Lévy risk modelCramér-Lundberg equationphase-type jump

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)

Cites Work

• Unnamed Item
• Erratum to ``Lévy risk model with two-sided jumps and a barrier dividend strategy
• On the threshold dividend strategy for a generalized jump-diffusion risk model
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• Russian and American put options under exponential phase-type Lévy models.
• Useful martingales for stochastic storage processes with Lévy input
• Matrix‐analytic Models and their Analysis

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