Omega model for a jump-diffusion process with a two-step premium rate

DOI10.1016/J.JKSS.2019.01.005zbMath1428.62497OpenAlexW2920788946MaRDI QIDQ2325320

Zhongqin Gao, Jing-Min He, Bingbing Wang

Publication date: 25 September 2019

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2019.01.005

zbMATH Keywords

strong Markov propertyGerber-Shiu functionjump-diffusion processOmega modeltwo-step premium ratebankruptcy probability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Diffusion processes (60J60) Risk models (general) (91B05) Jump processes on general state spaces (60J76)

Cites Work

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• The optimal dividend barrier in the gamma-omega model
• Risk theory for the compound Poisson process that is perturbed by diffusion
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.
• The Omega model: from bankruptcy to occupation times in the red
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• FROM RUIN TO BANKRUPTCY FOR COMPOUND POISSON SURPLUS PROCESSES
• On the Time Value of Ruin

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