A hyper-exponential jump-diffusion model under the barrier dividend strategy

DOI10.1007/S11766-015-3211-0MaRDI QIDQ902399zbMATH OpenOpenAlexFDO

Authors Yinghui Dong, Yao Chen, Haifei Zhu

Publication date 15 January 2016

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-015-3211-0

zbMATH Keywords

ruin timebarrier strategyGerber-Shiu functionreflected jump-diffusion processhyper-exponential distribution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• First passage times of a jump diffusion process
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• On a Classical Risk Model with a Constant Dividend Barrier
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• On optimality of the barrier strategy for a general Lévy risk process
• On the Time Value of Ruin
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• The Gerber-Shiu function and the generalized Cramér-Lundberg model
• The perturbed compound Poisson risk model with two-sided jumps

Cited in

(2)

• Dirichlet process and its developments: a survey
• Lévy risk model with two-sided jumps and a barrier dividend strategy

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