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

62-XX: Statistics

91-XX: Game theory, economics, finance, and other social and behavioral sciences

Cites Work

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model
An insurance risk model with stochastic volatility
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
Optimal dividend strategies in a Cramér-Lundberg model with capital injections
A general framework for time-changed Markov processes and applications
Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
Finite-time dividend problems in a Lévy risk model under periodic observation
On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency
Fourier-cosine method for Gerber-Shiu functions
Gerber-Shiu analysis of a risk model with capital injections
Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
Fourier-cosine method for ruin probabilities
Two singular diffusion problems
Minimising expected discounted capital injections by reinsurance in a classical risk model
A unifying approach to the analysis of business with random gains
Randomized observation periods for the compound Poisson risk model: the discounted penalty function
Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach
Randomized observation periods for the compound Poisson risk model: Dividends
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
The finite time ruin probability in a risk model with capital injections
Some Optimal Dividends Problems
ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS