Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s10255-010-0016-z.pdf
Reference19 articles.
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2. Cai, J., Feng, R., Willmot, G.E. On the expectation of total discounted operating costs up to default and its applications. Adv. Appl. Probab., 41(2): 495–522 (2009)
3. Cai, J., Gerber, H.U., Yang, H.L. Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debit interest. North Amer. Actua. J., 10(4): 76–89 (2006)
4. Chan, T., Kyprianou, A.E., Savov. M. Smoothness of scale functions for spectrally negative Levy processes. Probab. Theory Relat. Fields, DOI: 10.1007/s00440-010-0289-4, to appear
5. Dassions, A., Embrechts, P. Martingales and insurance risk. Comm. Statist.-Stoch. Models, 5: 181–217 (1989)
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