Randomized observation periods for the compound Poisson risk model: the discounted penalty function
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- Randomized onservation periods for the compound Poisson risk model: dividends
- Recursive calculation of finite-time ruin probabilities
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
- The Erlangization method for Markovian fluid flows
Cited in
(60)- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
- On the compound Poisson risk model with periodic capital injections
- A risk model with varying premiums: its risk management implications
- Periodic threshold-type dividend strategy in the compound Poisson risk model
- The compound Poisson risk model under a mixed dividend strategy
- On the distribution of classic and some exotic ruin times
- Effects of Positive Jumps of Assets on Endogenous Bankruptcy and Optimal Capital Structure: Continuous- and Periodic-Observation Models
- Discounted probability of exponential Parisian ruin: diffusion approximation
- Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
- The Markov additive risk process under an Erlangized dividend barrier strategy
- The Omega model: from bankruptcy to occupation times in the red
- Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
- On the dual risk model with Parisian implementation delays under a mixed dividend strategy
- A periodic dividend problem with inconstant barrier in Markovian environment
- The expected discounted penalty function in the dual insurance risk model with randomized observation periods
- Ruin-related problems in the dual risk model under two different randomized observations
- RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR
- Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
- On optimal dividends with exponential and linear penalty payments
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- Lévy insurance risk process with Poissonian taxation
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- The role of direct capital cash transfers towards poverty and extreme poverty alleviation - an omega risk process
- A temporal approach to the Parisian risk model
- Dividends under threshold dividend strategy with randomized observation periods and capital-exchange agreement
- Exit identities for diffusion processes observed at Poisson arrival times
- A Markov-modulated jump-diffusion risk model with randomized observation periods and threshold dividend strategy
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
- On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions
- On a time-changed Lévy risk model with capital injections and periodic observation
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- The dual risk model under a mixed ratcheting and periodic dividend strategy
- The joint Laplace transforms for diffusion occupation times
- On the time spent in the red by a refracted Lévy risk process
- A QUEUEING MODEL WITH RANDOMIZED DEPLETION OF INVENTORY
- On the distribution of cumulative Parisian ruin
- Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
- Optimal consumption and investment problem with random horizon in a BMAP model
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
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- A perturbed risk model with constant interest and periodic barrier dividend strategy
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