On a doubly reflected risk process with running maximum dependent reflecting barriers

DOI10.1016/J.CAM.2022.114880MaRDI QIDQ2104057zbMATH OpenOpenAlexFDO

Authors Wenyuan Wang, Ning Wang, Mi Chen

Publication date 9 December 2022

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.2022.114880

dividends capital injections potential measure doubly reflected risk process historic record high dependent reflecting barriers

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Corporate finance (dividends, real options, etc.) (91G50) Risk models (general) (91B05)

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Cited in

(4)

A drawdown reflected spectrally negative Lévy process
Fluctuation theory for level-dependent Lévy risk processes
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
The moments of the discounted loss and the discounted dividends for a spectrally negative Lévy risk process

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