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

DOI10.1016/J.JKSS.2019.01.005MaRDI QIDQ2325320zbMATH OpenOpenAlexFDO

Authors 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

bankruptcy probabilityGerber-Shiu functionjump-diffusion processOmega modelstrong Markov propertytwo-step premium rate

Mathematics Subject Classification ID

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

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Cites work

• Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
• From ruin to bankruptcy for compound Poisson surplus processes
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• On the Time Value of Ruin
• Risk theory for the compound Poisson process that is perturbed by diffusion
• The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
• The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier
• The Omega model: from bankruptcy to occupation times in the red
• The optimal dividend barrier in the gamma-omega model
• The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy
• The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion.

Cited in

(4)

• Omega model for a jump-diffusion process with a two-step premium rate and a threshold dividend strategy
• An Omega model for a jump-diffusion process
• Ornstein-Uhlenback type Omega model
• The role of direct capital cash transfers towards poverty and extreme poverty alleviation - an omega risk process

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