<i>q</i>-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model-Reference-Cited by-同舟云学术

q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model

Published:2022-05-29 Issue:1 Volume:2023 Page:38-50
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Liu Yuxuan¹,Jiang Zhengjun²³,Zhang Yiwen³

Affiliation:

1. School of Computer Science and Cybersecurity, Communication University of China, Beijing, People's Republicof China

2. Guangdong Provincial Key Laboratory of Interdisciplinary Research and Application for Data Science, BNU-HKBU United International College, Zhuhai, People's Republic of China

3. Statistics Programme, Divisionof Science and Technology, BNU-HKBU United International College, Zhuhai, People's Republic of China

Funder

Guangdong Provincial Key Laboratory of Interdisciplinary Research and Application for Data Science

UIC research

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2022.2078221

Reference14 articles.

1. Ruin Probabilities

2. OPTIMAL DIVIDEND PAYMENTS WHEN CASH RESERVES FOLLOW A JUMP-DIFFUSION PROCESS

3. Smoothness of scale functions for spectrally negative Lévy processes

4. Cramér H. (1930). On the mathematical theory of risk. Vol. II of Minneskrift utgiven av Forsäkringsaktiebolaget Skandia. Stockholm.

5. Egami M. & Yamazaki K. (2010). On scale functions of spectrally negative Lévy processes with phase-type jumps. https://www.researchgate.net/publication/238195659

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