Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Gerber-Shiu Function for a Class of Markov-Modulated Lévy Risk Processes with Two-Sided Jumps

Published:2022-04-30 Issue:4 Volume:24 Page:2779-2800
ISSN:1387-5841
Container-title:Methodology and Computing in Applied Probability
language:en
Short-container-title:Methodol Comput Appl Probab

Author:

Martín-González Ehyter Matías,Murillo-Salas Antonio,Pantí Henry

Funder

SEP-MEXICO

Publisher

Springer Science and Business Media LLC

Subject

General Mathematics,Statistics and Probability

Link

https://link.springer.com/content/pdf/10.1007/s11009-022-09954-1.pdf

Reference25 articles.

1. Albrecher H, Boxoma OJ (2005) On the discounted penalty function in a Markov-dependent risk model. Insur Math Econ 37:650–672

2. Albrecher H, Gerber HU, Yang H (2010) A direct approach to the discounted penalty function. N Am Actuar J 14(4):420–434

3. Asmussen S (1989) Risk theory in a Markovian environment. Scand Actuar J 2:69–100

4. Asmussen S (2014) Lévy processes, phase-type distributions, and martingales. Stoch Models 30(4)

5. Biffis E, Kyprianou AE (2009) A note on scale functions and the time value of ruin for Lévy insurance risk processes. Insur Math Econ 46:85–91

Cited by 8 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal dividends and capital injection: A general Lévy model with extensions to regime-switching models;Insurance: Mathematics and Economics;2024-09

2. Based on Symmetric Jump Risk Market: Study on the Ruin Problem of a Risk Model with Liquid Reserves and Proportional Investment;Symmetry;2024-05-15

3. Dividend problem of an investment risk model under random observation;AIMS Mathematics;2024

4. On the Expected Discounted Penalty Function Using Physics-Informed Neural Network;Journal of Mathematics;2023-12-28

5. Numerical Method for a Risk Model with Two-Sided Jumps and Proportional Investment;Mathematics;2023-03-24

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3