Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy
From MaRDI portal
Publication:2258090
DOI10.1007/s11464-013-0313-yzbMath1321.60167OpenAlexW1526741062MaRDI QIDQ2258090
Publication date: 2 March 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-013-0313-y
Laplace transformintegro-differential equationruin timebarrier strategyjump-diffusion risk processexpected discounted dividends
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
Strong convergence in the \(p\)th-mean of an averaging principle for two-time-scales SPDEs with jumps ⋮ Stochastic averaging principles for multi-valued stochastic differential equations driven by poisson point Processes ⋮ Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
- Joint distributions of some actuarial random vectors containing the time of ruin
- Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
- The joint density function of three characteristics on jump-diffusion risk process.
- A perturbed risk process compounded by a geometric Brownian motion with a dividend barrier strategy
- The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
- Ruin theory with stochastic return on investments
- Total duration of negative surplus for the compound Poisson process that is perturbed by diffusion
- Optimal Dividends
This page was built for publication: Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strategy