Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chi, Yichun & Lin, X. Sheldon, 2011. "On the threshold dividend strategy for a generalized jump-diffusion risk model," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 326-337, May.
- Bo, Lijun & Song, Renming & Tang, Dan & Wang, Yongjin & Yang, Xuewei, 2012. "Lévy risk model with two-sided jumps and a barrier dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 280-291.
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KeywordsGerber-Shiu expected discounted penalty function Wiener-Hopf factorization Perturbed compound Poisson risk process Laplace distribution Perpetual American put option Barrier option Optimal capital structure;
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