A renewal jump-diffusion process with threshold dividend strategy
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Publication:1019768
DOI10.1016/J.CAM.2008.08.046zbMath1166.60053OpenAlexW2047879951MaRDI QIDQ1019768
Publication date: 28 May 2009
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2008.08.046
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
Related Items (5)
On the compound Poisson risk model with dependence and a threshold dividend strategy ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process ⋮ Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy
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- Stationary distributions for fluid flow models with or without brownian noise
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