The Omega-model with two bankruptcy rates

DOI10.1080/15326349.2021.1930054zbMath1471.91086OpenAlexW3167981097MaRDI QIDQ5157350

Adva Keren-Pinhasik, Esther Frostig

Publication date: 13 October 2021

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2021.1930054

zbMATH Keywords

dual risk modeltime to bankruptcybankruptcy probabilitynegative period

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Corporate finance (dividends, real options, etc.) (91G50) Risk models (general) (91B05)

Cites Work

• Exit identities for Lévy processes observed at Poisson arrival times
• Gerber-Shiu risk theory
• An insurance risk model with Parisian implementation delays
• Ornstein-Uhlenback type Omega model
• The optimal dividend barrier in the gamma-omega model
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes
• Parisian ruin in the dual model with applications to the \(G/M/1\) queue
• The Omega model: from bankruptcy to occupation times in the red
• Parisian ruin probability for spectrally negative Lévy processes
• Parisian ruin with Erlang delay and a lower bankruptcy barrier
• Dividend problem with Parisian delay for a spectrally negative Lévy risk process
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• A queueing/inventory and an insurance risk model
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes
• Parisian ruin probability with a lower ultimate bankrupt barrier
• A QUEUEING MODEL WITH RANDOMIZED DEPLETION OF INVENTORY
• FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES

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