A note on Lévy risk model with two-sided phase-type jumps
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Publication:5020403
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Cites work
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- Erratum to ``Lévy risk model with two-sided jumps and a barrier dividend strategy
- Lévy risk model with two-sided jumps and a barrier dividend strategy
- Matrix‐analytic Models and their Analysis
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- Russian and American put options under exponential phase-type Lévy models.
- Useful martingales for stochastic storage processes with Lévy input
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 limiting distribution for jumps of Lévy insurance risk model
- A Note on Pricing, Duality and Symmetry for Two-Dimensional Lévy Markets
- 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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