An Omega model for a jump-diffusion process

DOI10.3969/J.ISSN.1001-4268.2014.05.006MaRDI QIDQ5260200zbMATH OpenFDO

Authors J. Yu

Publication date 29 June 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2014.05.006

zbMATH Keywords

bankruptcy rate functionjump-diffusion processoccupation timeOmega model

Mathematics Subject Classification ID

Brownian motion (60J65)

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(7)

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• Omega model for a jump-diffusion process with a two-step premium rate
• Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy
• Omega diffusion risk model with surplus-dependent tax and capital injections
• The Omega-model with two bankruptcy rates
• Ornstein-Uhlenback type Omega model
• Fluctuations of an omega-type killed process in discrete time

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