A scale function based approach for solving integral-differential equations in insurance risk models (Q6160571): Difference between revisions

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scientific article; zbMATH DE number 7701061

Language	Label	Description	Also known as
English	A scale function based approach for solving integral-differential equations in insurance risk models	scientific article; zbMATH DE number 7701061

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instance of

scholarly article

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title

A scale function based approach for solving integral-differential equations in insurance risk models (English)

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DOI

10.1016/j.amc.2023.127965

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Applied Mathematics and Computation

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publication date

26 June 2023

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Mathematics Subject Classification ID

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integro-differential equation

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scale functions

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Lévy process

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2023.127965

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OpenAlex ID

W4327949509

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cites work

The<i>W</i>,<i>Z</i>scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems

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Q3150773

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Smoothness of scale functions for spectrally negative Lévy processes

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Ruin probabilities in classical risk models with gamma claims

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Some Optimal Dividends Problems

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Risk theory for the compound Poisson process that is perturbed by diffusion

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Phase-type Fitting of scale functions for spectrally negative Lévy processes

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Q5588331

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On the discounted penalty at ruin in a jump-diffusion and the perpetual put option

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A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier

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Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes

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On scale functions for Lévy processes with negative phase-type jumps

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Fluctuations of Lévy processes with applications. Introductory lectures

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On series expansions for scale functions and other ruin-related quantities

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The expected discounted penalty function: from infinite time to finite time

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The perturbed compound Poisson risk model with linear dividend barrier

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The compound Poisson risk model with a threshold dividend strategy

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Optimal dividend strategies in a Cramér-Lundberg model with capital injections

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On a dual model with a dividend threshold

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Dividend problems in the dual risk model with exponentially distributed observation time

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Q4935978

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Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion

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On the expected discounted penalty function for risk process with tax

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The compound Poisson risk model under a mixed dividend strategy

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Sitelinks

Mathematics(1 entry)

mardi Publication:6160571

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.amc.2023.127965
+Normal rank
@@ Property / OpenAlex ID @@
+W4327949509
@@ Property / OpenAlex ID: W4327949509 / rank @@
+Normal rank
@@ Property / cites work @@
+The<i>W</i>,<i>Z</i>scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
+Normal rank
@@ Property / cites work @@
+Q3150773
@@ Property / cites work: Q3150773 / rank @@
+Normal rank
@@ Property / cites work @@
+Smoothness of scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Ruin probabilities in classical risk models with gamma claims
+Normal rank
@@ Property / cites work @@
+Some Optimal Dividends Problems
@@ Property / cites work: Some Optimal Dividends Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Risk theory for the compound Poisson process that is perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+Phase-type Fitting of scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Q5588331
@@ Property / cites work: Q5588331 / rank @@
+Normal rank
@@ Property / cites work @@
+On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
+Normal rank
@@ Property / cites work @@
+A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
+Normal rank
@@ Property / cites work @@
+Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+On scale functions for Lévy processes with negative phase-type jumps
+Normal rank
@@ Property / cites work @@
+Fluctuations of Lévy processes with applications. Introductory lectures
+Normal rank
@@ Property / cites work @@
+On series expansions for scale functions and other ruin-related quantities
+Normal rank
@@ Property / cites work @@
+The expected discounted penalty function: from infinite time to finite time
+Normal rank
@@ Property / cites work @@
+The perturbed compound Poisson risk model with linear dividend barrier
+Normal rank
@@ Property / cites work @@
+The compound Poisson risk model with a threshold dividend strategy
+Normal rank
@@ Property / cites work @@
+Optimal dividend strategies in a Cramér-Lundberg model with capital injections
+Normal rank
@@ Property / cites work @@
+On a dual model with a dividend threshold
@@ Property / cites work: On a dual model with a dividend threshold / rank @@
+Normal rank
@@ Property / cites work @@
+Dividend problems in the dual risk model with exponentially distributed observation time
+Normal rank
@@ Property / cites work @@
+Q4935978
@@ Property / cites work: Q4935978 / rank @@
+Normal rank
@@ Property / cites work @@
+Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+On the expected discounted penalty function for risk process with tax
+Normal rank
@@ Property / cites work @@
+The compound Poisson risk model under a mixed dividend strategy
+Normal rank