Omega diffusion risk model with surplus-dependent tax and capital injections

DOI10.1016/J.INSMATHECO.2016.03.012zbMATH Open1369.91080OpenAlexW3125191322MaRDI QIDQ320287FDOQ320287

Authors: Zhenyu Cui, Duy Nguyen 

Publication date: 6 October 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.012

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zbMATH Keywords

occupation timeomega risk modelreflected diffusionsrisk model with taxtime-homogeneous diffusionAzéma-Yor process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Cites Work

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Cited In (6)

• Tax optimization with a terminal value for the Lévy risk processes
• A general method for analysis and valuation of drawdown risk
• Speed and duration of drawdown under general Markov models
• The Omega-model with two bankruptcy rates
• Pricing American drawdown options under Markov models
• The role of direct capital cash transfers towards poverty and extreme poverty alleviation - an omega risk process

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