On a dual model with barrier strategy

DOI10.1155/2012/343794zbMATH Open1244.91096DBLPjournals/jam/WenY12OpenAlexW2166973777WikidataQ58906703 ScholiaQ58906703MaRDI QIDQ442880FDOQ442880

Authors: Yuzhen Wen, Chuancun Yin 

Publication date: 6 August 2012

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/343794

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zbMATH Keywords

Erlang\((n)\) risk model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• Russian and American put options under exponential phase-type Lévy models.
• Optimal Dividends in the Dual Model with Diffusion
• Optimal dividends in the dual model
• On a dual model with a dividend threshold
• Aspects of risk theory
• Title not available (Why is that?)
• On the dual risk model with tax payments
• Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches
• Title not available (Why is that?)
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• First passage times of a jump diffusion process
• The perturbed compound Poisson risk model with two-sided jumps
• Pricing double-barrier options under a flexible jump diffusion model
• On the threshold dividend strategy for a generalized jump-diffusion risk model
• Ruin probability for renewal risk model with negative risk sums
• On a compounding assets model with positive jumps
• First-exit times for compound poisson processes for some types of positive and negative jumps
• The time to ruin for a class of Markov additive risk process with two-sided jumps

Cited In (11)

• On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
• On dividends in the phase–type dual risk model
• The dividend function in the jump-diffusion dual model with barrier dividend strategy
• The Erlang (2) risk model with a dividend barrier
• Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes
• On a dual risk model with interest and a constant dividend barriers
• On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
• The dual risk model perturbed by diffusion with stochastic expense and a barrier strategy
• Constant barrier strategies in a two-state Markov-modulated dual risk model
• On a dual model with a linear dividend barrier
• HEDGING DOUBLE BARRIERS WITH SINGLES

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