Ornstein-Uhlenback type Omega model

DOI10.1007/s11464-016-0521-3zbMath1361.60079OpenAlexW2343353776MaRDI QIDQ528231

Xiulian Wang, Wei Wang, Chun-sheng Zhang

Publication date: 12 May 2017

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-016-0521-3

zbMATH Keywords

occupation timeGerber-Shiu function at bankruptcyOmega modelOrnstein-Uhlenbeck type Omega modelprobability of bankruptcy

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

The Omega-model with two bankruptcy rates

Cites Work

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• On pre-exit joint occupation times for spectrally negative Lévy processes
• The optimal dividend barrier in the gamma-omega model
• Occupation times of spectrally negative Lévy processes with applications
• The Omega model: from bankruptcy to occupation times in the red
• Diffusion occupation time before exiting
• Two-sided discounted potential measures for spectrally negative Lévy processes
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized observation periods for the compound Poisson risk model: Dividends
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• The Joint Laplace Transforms for Diffusion Occupation Times
• FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES
• On the Time Value of Ruin

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