Parisian ruin with a threshold dividend strategy under the dual Lévy risk model

DOI10.1016/J.INSMATHECO.2019.11.002zbMATH Open1431.91345OpenAlexW2991240132MaRDI QIDQ2292187FDOQ2292187

Authors: Chen Yang, Kristina P. Sendova, Zhong Li

Publication date: 3 February 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.11.002

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zbMATH Keywords

optimality dual model Parisian ruin threshold dividend strategy Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05)

Cites Work

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ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS
On the dual risk model with Parisian implementation delays in dividend payments
Dividend barrier strategy: proceed with caution

Cited In (14)

Dividend problem with Parisian delay for the classical risk model with debit interest
On the Parisian ruin of the dual Lévy risk model
On the dual risk model with Parisian implementation delays under a mixed dividend strategy
An excursion theoretic approach to Parisian ruin problem
Dividend barrier strategy: proceed with caution
Optimal dividend strategy under Parisian ruin with affine penalty
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
Computing two actuarial quantities under multilayer dividend strategy with a constant interest rate: based on Sinc methods
On the moments of dividends and capital injections under a variant type of Parisian ruin
A refracted Lévy process with delayed dividend pullbacks
Liquidation risk in insurance under contemporary regulatory frameworks
The dual risk model under a mixed ratcheting and periodic dividend strategy
Risk modelling on liquidations with Lévy processes
On the dual risk model with Parisian implementation delays in dividend payments

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