A note on Lévy risk model with two-sided phase-type jumps
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Publication:5020403
DOI10.2298/FIL1713209MzbMATH Open1499.91099MaRDI QIDQ5020403FDOQ5020403
Authors: Tatjana Slijepčević-Manger 
Publication date: 5 January 2022
Published in: Filomat (Search for Journal in Brave)
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Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)
Cites Work
- Title not available (Why is that?)
- Russian and American put options under exponential phase-type Lévy models.
- Useful martingales for stochastic storage processes with Lévy input
- Lévy risk model with two-sided jumps and a barrier dividend strategy
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- Matrix‐analytic Models and their Analysis
- Erratum to ``Lévy risk model with two-sided jumps and a barrier dividend strategy
Cited In (8)
- Erratum to ``Lévy risk model with two-sided jumps and a barrier dividend strategy
- The time value of ruin for a risk model with two-sided jumps under constant dividend barrier
- w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps
- A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
- A note on limiting distribution for jumps of Lévy insurance risk model
- Lévy risk model with two-sided jumps and a barrier dividend strategy
- Asymptotics for a bidimensional risk model with two geometric Lévy price processes
- PH approximation of two-barrier ruin probability for Lévy risk having two-sided PH jumps
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