On a time-changed Lévy risk model with capital injections and periodic observation

DOI10.1016/J.MATCOM.2023.07.016MaRDI QIDQ6094062zbMATH OpenFDO

Authors Ye Teng, Zhimin Zhang

Publication date 12 September 2023

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.MATCOM.2023.07.016

zbMATH Keywords

capital injectionCIR processCOStime-changed Lévy model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• A general framework for time-changed Markov processes and applications
• A novel pricing method for European options based on Fourier-cosine series expansions
• A unifying approach to the analysis of business with random gains
• An insurance risk model with stochastic volatility
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• Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Finite-time dividend problems in a Lévy risk model under periodic observation
• Fourier-cosine method for Gerber-Shiu functions
• Fourier-cosine method for ruin probabilities
• Gerber-Shiu analysis of a risk model with capital injections
• Minimising expected discounted capital injections by reinsurance in a classical risk model
• On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
• On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
• On the compound Poisson risk model with periodic capital injections
• Optimal dividend strategies in a Cramér-Lundberg model with capital injections
• Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
• Randomized observation periods for the compound Poisson risk model: the discounted penalty function
• Randomized onservation periods for the compound Poisson risk model: dividends
• Some Optimal Dividends Problems
• The finite time ruin probability in a risk model with capital injections
• Two singular diffusion problems

Cited in

(4)

• Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation
• Lévy risk model with capital injections and periodic observation
• Finite-time expected present value of operating costs until ruin in a two-dimensional risk model with periodic observation
• Ruin probability for heavy-tailed and dependent losses under reinsurance strategies

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