A State-Dependent Dual Risk Model
Download full text from publisher
References listed on IDEAS
- Zhu, Lingjiong, 2013. "Moderate deviations for Hawkes processes," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 885-890.
- Avanzi, Benjamin & U. Gerber, Hans & S.W. Shiu, Elias, 2007. "Optimal dividends in the dual model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 111-123, July.
- Dassios, Angelos & Zhao, Hongbiao, 2012. "Ruin by dynamic contagion claims," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 93-106.
- Erhan Bayraktar & Masahiko Egami, 2008.
"Optimizing venture capital investments in a jump diffusion model,"
Mathematical Methods of Operations Research,
Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 21-42, February.
- Erhan Bayraktar & Masahiko Egami, 2007. "Optimizing Venture Capital Investments in a Jump Diffusion Model," Papers math/0703823, arXiv.org, revised Jul 2007.
- Ng, Andrew C.Y., 2010. "On the Upcrossing and Downcrossing Probabilities of a Dual Risk Model With Phase-Type Gains," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 40(01), pages 281-306, May.
- Albrecher, Hansjörg & Badescu, Andrei & Landriault, David, 2008. "On the dual risk model with tax payments," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1086-1094, June.
- Zhu, Lingjiong, 2013. "Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 544-550.
- Yang, Chen & Sendova, Kristina P., 2014. "The ruin time under the Sparre-Andersen dual model," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 28-40.
- Cheung, Eric C.K. & Drekic, Steve, 2008. "Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 38(02), pages 399-422, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Arash Fahim & Lingjiong Zhu, 2016. "Asymptotic Analysis for Optimal Dividends in a Dual Risk Model," Papers 1601.03435, arXiv.org, revised Feb 2016.
- Arash Fahim & Lingjiong Zhu, 2015. "Optimal Investment in a Dual Risk Model," Papers 1510.04924, arXiv.org.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1510.03920. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.