Ornstein-Uhlenback type Omega model

DOI10.1007/S11464-016-0521-3zbMATH Open1361.60079OpenAlexW2343353776MaRDI QIDQ528231FDOQ528231

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

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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)

Cites Work

• Title not available (Why is that?)
• Optimal Dividends In An Ornstein-Uhlenbeck Type Model With Credit And Debit Interest
• Occupation times of intervals until first passage times for spectrally negative Lévy processes
• On the Time Value of Ruin
• Occupation times of spectrally negative Lévy processes with applications
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized onservation periods for the compound Poisson risk model: dividends
• From ruin to bankruptcy for compound Poisson surplus processes
• The optimal dividend barrier in the gamma-omega model
• The joint Laplace transforms for diffusion occupation times
• On pre-exit joint occupation times for spectrally negative Lévy processes
• The Omega model: from bankruptcy to occupation times in the red
• Diffusion occupation time before exiting
• 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
• 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
• An Omega model for a jump-diffusion process

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