The Omega model: from bankruptcy to occupation times in the red
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Publication:1936471
DOI10.1007/s13385-012-0052-6zbMath1256.91057OpenAlexW2021240540MaRDI QIDQ1936471
Hailiang Yang, Hans U. Gerber, Elias S. W. Shiu
Publication date: 5 February 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-012-0052-6
Related Items (30)
Fluctuations of Omega-killed spectrally negative Lévy processes ⋮ Occupation times of intervals until first passage times for spectrally negative Lévy processes ⋮ On weighted occupation times for refracted spectrally negative Lévy processes ⋮ Optimal dividends under Markov-modulated bankruptcy level ⋮ Lévy insurance risk process with Poissonian taxation ⋮ Dividend optimisation: a behaviouristic approach ⋮ Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy ⋮ On the distribution of cumulative Parisian ruin ⋮ Local times for spectrally negative Lévy processes ⋮ On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ On the area in the red of Lévy risk processes and related quantities ⋮ Stochastic areas of diffusions and applications ⋮ Ruin probabilities in the Cramér-Lundberg model with temporarily negative capital ⋮ Ruin probabilities in the mixed claim frequency risk models ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Asymptotic analysis and optimization of some insurance models ⋮ The Joint Laplace Transforms for Diffusion Occupation Times ⋮ The Omega-model with two bankruptcy rates ⋮ Ornstein-Uhlenback type Omega model ⋮ A joint Laplace transform for pre-exit diffusion of occupation times ⋮ On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions ⋮ Occupation times of intervals until last passage times for spectrally negative Lévy processes ⋮ Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks ⋮ Omega model for a jump-diffusion process with a two-step premium rate ⋮ Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions ⋮ Time reversal and last passage time of diffusions with applications to credit risk management ⋮ On the time spent in the red by a refracted L\'evy risk process ⋮ Fluctuation identities for Omega-killed spectrally negative Markov additive processes and dividend problem ⋮ Moments of deficit duration and its proportion in general compound binomial model
Cites Work
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- The optimal dividend barrier in the gamma-omega model
- How long is the surplus below zero?
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Randomized observation periods for the compound Poisson risk model: the discounted penalty function
- Randomized observation periods for the compound Poisson risk model: Dividends
- Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
- Differentiation of some functionals of risk processes, and optimal reserve allocation
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