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

DOI10.1016/J.AMC.2021.125981MaRDI QIDQ2242128zbMATH OpenOpenAlexFDO

Authors 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

COSfinite-time dividend paymentsfinite-time expected discounted penalty functionLévy risk model

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• A note on a Lévy insurance risk model under periodic dividend decisions
• A novel pricing method for European options based on Fourier-cosine series expansions
• Approximating the density of the time to ruin via Fourier-cosine series expansion
• Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
• Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
• Fourier-cosine method for Gerber-Shiu functions
• Fourier-cosine method for ruin probabilities
• Lévy insurance risk process with Poissonian taxation
• On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
• On a risk model with randomized dividend-decision times
• On optimal dividend strategies in the compound Poisson model
• On optimal dividends: from reflection to refraction
• On the compound Poisson risk model with periodic capital injections
• Optimal Dividends
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized onservation periods for the compound Poisson risk model: dividends
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• The compound Poisson risk model with a threshold dividend strategy
• The Markov additive risk process under an Erlangized dividend barrier strategy

Cited in

(26)

• The dividend problem with a finite horizon
• A note on a Lévy insurance risk model under periodic dividend decisions
• Dividend problems in the dual risk model with exponentially distributed observation time
• 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
• Periodic dividends and capital injections for a spectrally negative Lévy risk process under absolute ruin
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• A model about insurer with dividend and irregularly checking surplus
• The dividend problem under a hybrid observation scheme for a spectrally positive Lévy process
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
• 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
• Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
• Lévy risk model with capital injections and periodic observation
• On periodic dividends for the classical risk model with debit interest
• Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
• Threshold estimation of the Gerber-Shiu function using the Fourier-cosine method in the Wiener-Poisson risk model
• Finite-time expected present value of operating costs until ruin in a two-dimensional risk model with periodic observation
• Finite-time expected present value of operating costs until ruin in Lévy risk models with varying dividend barriers

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