A hyper-exponential jump-diffusion model under the barrier dividend strategy
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Publication:902399
DOI10.1007/S11766-015-3211-0zbMATH Open1340.91045OpenAlexW2030155614MaRDI QIDQ902399FDOQ902399
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
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- scientific article; zbMATH DE number 5762675
ruin timebarrier strategyGerber-Shiu functionreflected jump-diffusion processhyper-exponential distribution
Cites Work
- On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
- On a Classical Risk Model with a Constant Dividend Barrier
- Title not available (Why is that?)
- On the Time Value of Ruin
- The Gerber-Shiu function and the generalized Cramér-Lundberg model
- First passage times of a jump diffusion process
- 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 optimality of the barrier strategy for a general Lévy risk process
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