Optimal dividends and bankruptcy procedures: Analysis of the Ornstein–Uhlenbeck process

Author:

Wong Hoi Ying,Zhao Jing

Funder

Research Grants Council of Hong Kong

La Trobe University

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference34 articles.

1. Geometric Brownian motion models for assets and liabilities: From pension funding to optimal dividends;Gerber;North American Actuarial Journal,2003

2. Optimal dividends: analysis with Brownian motion;Gerber;North American Actuarial Journal,2004

3. On optimal dividends: from reflection to refraction;Gerber;Journal of Computational and Applied Mathematics,2006

4. Finite time dividend-ruin models;Leung;Insurance: Mathematics and Economics,2008

5. Optimal dividends in an Ornstein–Uhlenback type model with credit and debit interest;Cai;North American Actuarial Journal,2006

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2. Variance swaps under the threshold Ornstein-Uhlenbeck model;Applied Stochastic Models in Business and Industry;2017-05-05

3. Option Pricing with Threshold Mean Reversion;Journal of Futures Markets;2016-05-30

4. Longevity bond pricing under the threshold CIR model;Finance Research Letters;2015-11

5. Optimal dividend strategies in a delayed claim risk model with dividends discounted by stochastic interest rates;Mathematical Methods of Operations Research;2015-05-12

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