Omega model for a jump-diffusion process with a two-step premium rate
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Publication:2325320
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
strong Markov propertyGerber-Shiu functionjump-diffusion processOmega modeltwo-step premium ratebankruptcy probability
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 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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