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

DOI10.1016/J.INSMATHECO.2019.11.002MaRDI QIDQ2292187zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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On the dual risk model with Parisian implementation delays in dividend payments
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Optimal control with absolutely continuous strategies for spectrally negative Lévy processes
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
Optimal dividend strategies in a dual model with capital injections
Optimal dividends in the dual model
Parisian ruin probability for spectrally negative Lévy processes
Parisian ruin probability with a lower ultimate bankrupt barrier
Refracted Lévy processes
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
The theory of scale functions for spectrally negative Lévy processes
Total duration of negative surplus for the dual model

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
Liquidation risk in insurance under contemporary regulatory frameworks
A refracted Lévy process with delayed dividend pullbacks
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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