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

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)

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Cites work

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• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
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• On the time spent in the red by a refracted Lévy risk process
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Cited in

(6)

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

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