On a dual model with barrier strategy

DOI10.1155/2012/343794MaRDI QIDQ442880zbMATHOpenAlexDBLPWikidataFDO

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

zbMATH Keywords

Erlang\((n)\) risk model

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3259556 (Why is no real title available?)
• scientific article; zbMATH DE number 3312403 (Why is no real title available?)
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• On a compounding assets model with positive jumps
• On a dual model with a dividend threshold
• On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
• On the dual risk model with tax payments
• On the threshold dividend strategy for a generalized jump-diffusion risk model
• Optimal Dividends in the Dual Model with Diffusion
• Optimal dividends in the dual model
• Pricing double-barrier options under a flexible jump diffusion model
• Ruin probability for renewal risk model with negative risk sums
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• The perturbed compound Poisson risk model with two-sided jumps
• The time to ruin for a class of Markov additive risk process with two-sided jumps

Cited in

(15)

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

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