The Omega-model with two bankruptcy rates

DOI10.1080/15326349.2021.1930054MaRDI QIDQ5157350zbMATH OpenOpenAlexFDO

Authors Adva Keren-Pinhasik, Esther Frostig

Publication date 13 October 2021

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2021.1930054

zbMATH Keywords

dual risk modeltime to bankruptcybankruptcy probabilitynegative period

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Corporate finance (dividends, real options, etc.) (91G50) Risk models (general) (91B05)

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Cites work

• A QUEUEING MODEL WITH RANDOMIZED DEPLETION OF INVENTORY
• A queueing/inventory and an insurance risk model
• An insurance risk model with Parisian implementation delays
• Dividend problem with Parisian delay for a spectrally negative Lévy risk process
• Exit identities for Lévy processes observed at Poisson arrival times
• From ruin to bankruptcy for compound Poisson surplus processes
• Gerber-Shiu distribution at Parisian ruin for Lévy insurance risk processes
• Gerber-Shiu risk theory
• Introductory lectures on fluctuations of Lévy processes with applications.
• On barrier strategy dividends with Parisian implementation delay for classical surplus processes
• Ornstein-Uhlenback type Omega model
• Parisian ruin in the dual model with applications to the \(G/M/1\) queue
• Parisian ruin probability for spectrally negative Lévy processes
• Parisian ruin probability with a lower ultimate bankrupt barrier
• Parisian ruin with Erlang delay and a lower bankruptcy barrier
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• The Omega model: from bankruptcy to occupation times in the red
• The optimal dividend barrier in the gamma-omega model
• The theory of scale functions for spectrally negative Lévy processes

Cited in

(4)

• The Omega model: from bankruptcy to occupation times in the red
• Omega diffusion risk model with surplus-dependent tax and capital injections
• An Omega model for a jump-diffusion process
• Ornstein-Uhlenback type Omega model

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