Drawdown analysis for the renewal insurance risk process
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Publication:4575464
DOI10.1080/03461238.2015.1123174zbMath1401.91159OpenAlexW2298876183MaRDI QIDQ4575464
David Landriault, Shu Li, Bin Li
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2015.1123174
ruin probabilitydrawdowntwo-sided exit problemconstant dividend barrier strategyfluid flow techniquerenewal insurance risk process
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Related Items (6)
Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ Maximum surplus and \(R_n\) class of distributions with an application to dividends ⋮ A Wiener-Hopf factorization related potential measure for spectrally negative Lévy process ⋮ Exit problems for general draw-down times of spectrally negative Lévy processes ⋮ General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
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