Ornstein-Uhlenback type Omega model

DOI10.1007/S11464-016-0521-3MaRDI QIDQ528231zbMATHOpenAlexFDO

Authors Xiulian Wang, Wei Wang, Chunsheng Zhang

Publication date 12 May 2017

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-016-0521-3

zbMATH Keywords

occupation timeGerber-Shiu function at bankruptcyOmega modelOrnstein-Uhlenbeck type Omega modelprobability of bankruptcy

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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• The Omega model: from bankruptcy to occupation times in the red
• An Omega model for a jump-diffusion process
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Cites work

• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Diffusion occupation time before exiting
• From ruin to bankruptcy for compound Poisson surplus processes
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• Occupation times of spectrally negative Lévy processes with applications
• On pre-exit joint occupation times for spectrally negative Lévy processes
• On the Time Value of Ruin
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized onservation periods for the compound Poisson risk model: dividends
• The Omega model: from bankruptcy to occupation times in the red
• The joint Laplace transforms for diffusion occupation times
• The optimal dividend barrier in the gamma-omega model
• Two-sided discounted potential measures for spectrally negative Lévy processes

Cited in

(6)

• Omega model for a jump-diffusion process with a two-step premium rate
• An Omega model for a jump-diffusion process
• The Omega-model with two bankruptcy rates
• Omega diffusion risk model with surplus-dependent tax and capital injections
• The Ornstein-Uhlenbeck-type model with a hybrid dividend strategy
• The role of direct capital cash transfers towards poverty and extreme poverty alleviation - an omega risk process

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