Finite-time dividend problems in a Lévy risk model under periodic observation

DOI10.1016/j.amc.2021.125981OpenAlexW3126671157MaRDI QIDQ2242128

Yanyan Li

Publication date: 9 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2021.125981

zbMATH Keywords

Lévy risk modelCOSfinite-time dividend paymentsfinite-time expected discounted penalty function

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (12)

Infinite series expansion of some finite-time dividend and ruin related functions ⋮ On a time-changed Lévy risk model with capital injections and periodic observation ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ Pricing some life-contingent lookback options under regime-switching Lévy models ⋮ Valuation of a DB underpin hybrid pension under a regime-switching Lévy model ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

Cites Work

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