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

DOI10.1007/S11766-015-3211-0zbMath1340.91045OpenAlexW2030155614MaRDI QIDQ902399

Haifei Zhu, Yinghui Dong, Yao Chen

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 timeGerber-Shiu functionbarrier strategyreflected jump-diffusion processhyper-exponential distribution

Mathematics Subject Classification ID

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

Related Items (1)

Dirichlet process and its developments: a survey

Cites Work

• Unnamed Item
• The Gerber-Shiu function and the generalized Cramér-Lundberg model
• On optimality of the barrier strategy for a general Lévy risk process
• On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• Lévy risk model with two-sided jumps and a barrier dividend strategy
• The perturbed compound Poisson risk model with two-sided jumps
• On a Classical Risk Model with a Constant Dividend Barrier
• First passage times of a jump diffusion process
• On the Time Value of Ruin

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