The Omega model: from bankruptcy to occupation times in the red
type: Item
instance of: scholarly article
title: The Omega model: from bankruptcy to occupation times in the red
zbMATH Open document ID: 1256.91057
author: Hailiang Yang
author: H. U. Gerber
author: E. S. W. Shiu
published in: European Actuarial Journal
publication date: 2013-02-05T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6134558
zbMATH Keywords: Omega model
zbMATH Keywords: discounted penalty
zbMATH Keywords: probability of bankruptcy
zbMATH Keywords: occupation times
zbMATH Keywords: Airy functions
MaRDI profile type: Publication
full work available at URL: s13385-012-0052-6
OpenAlex ID: W2021240540
cites work: The optimal dividend barrier in the gamma-omega model
cites work: Randomized onservation periods for the compound Poisson risk model: dividends
cites work: Randomized observation periods for the compound Poisson risk model: the discounted penalty function
cites work: Q3150773
cites work: How long is the surplus below zero?
cites work: Valuing equity-linked death benefits and other contingent options: a discounted density approach
cites work: Differentiation of some functionals of risk processes, and optimal reserve allocation
cites work: Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
DOI: 10.1007/S13385-012-0052-6
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description: scientific article; zbMATH DE number 6134558