On the dual risk model with diffusion under a mixed dividend strategy
From MaRDI portal
Publication:2177679
DOI10.1016/j.amc.2020.125115zbMath1488.91096MaRDI QIDQ2177679
Ping Chen, Zhang Liu, Hu, Yijun
Publication date: 6 May 2020
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2020.125115
inverse Laplace transform; integro-differential equation; ruin time; dual risk model; mixed dividend strategy; expected present value of dividends
Related Items
Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes, The dual risk model under a mixed ratcheting and periodic dividend strategy, On the dual risk model with Parisian implementation delays under a mixed dividend strategy, Ruin-related problems in the dual risk model under two different randomized observations, The perturbed compound Poisson risk model with proportional investment
Cites Work
- Unnamed Item
- Exit identities for Lévy processes observed at Poisson arrival times
- The Markov additive risk process under an Erlangized dividend barrier strategy
- Markov-dependent risk model with multi-layer dividend strategy
- On a dual risk model perturbed by diffusion with dividend threshold
- On optimal periodic dividend strategies in the dual model with diffusion
- Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- On a dual model with a dividend threshold
- Controlled diffusion models for optimal dividend pay-out
- On the time to ruin for Erlang(2) risk processes.
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Dividend barrier strategy: proceed with caution
- On optimal periodic dividend strategies for Lévy risk processes
- Spectrally negative Lévy risk model under Erlangized barrier strategy
- A note on a Lévy insurance risk model under periodic dividend decisions
- The compound Poisson risk model under a mixed dividend strategy
- On the time to ruin for a dependent delayed capital injection risk model
- On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
- Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps
- Fluctuations of Lévy processes with applications. Introductory lectures
- Randomized observation periods for the compound Poisson risk model: Dividends
- The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
- Optimal dividend-payout in random discrete time
- Optimal Dividends in the Dual Model with Diffusion
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Periodic threshold-type dividend strategy in the compound Poisson risk model
- ON THE INTERFACE BETWEEN OPTIMAL PERIODIC AND CONTINUOUS DIVIDEND STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS
- Optimization of the flow of dividends
- Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
- On the Time Value of Ruin
- Computing the Gerber–Shiu function by frame duality projection
