Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
From MaRDI portal
Publication:6106004
DOI10.1016/j.amc.2023.128074MaRDI QIDQ6106004
Publication date: 27 June 2023
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx) Markov processes (60Jxx)
Cites Work
- Unnamed Item
- A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
- On a multi-dimensional risk model with regime switching
- On the total operating costs up to default in a renewal risk model
- A risk model with renewal shot-noise Cox process
- On optimal periodic dividend strategies for Lévy risk processes
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Spectrally negative Lévy risk model under Erlangized barrier strategy
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
- Finite-time dividend problems in a Lévy risk model under periodic observation
- On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
- An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
- A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax
- Gerber-Shiu analysis of a risk model with capital injections
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
- Optimal proportional reinsurance and investment for stochastic factor models
- A unified analysis of claim costs up to ruin in a Markovian arrival risk model
- On a generalization from ruin to default in a Lévy insurance risk model
- Potential measures for spectrally negative Markov additive processes with applications in ruin theory
- On optimal dividends: from reflection to refraction
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- Randomized observation periods for the compound Poisson risk model: Dividends
- AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY
- The finite time ruin probability in a risk model with capital injections
- A General Valuation Framework for SABR and Stochastic Local Volatility Models
- On Optimal Dividend Strategies In The Compound Poisson Model
- On the expectation of total discounted operating costs up to default and its applications
- Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times
- Numerical Methods for Stochastic Control Problems in Continuous Time
- Interest rate models -- theory and practice
This page was built for publication: Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation