On optimality of the barrier strategy for a general Lévy risk process-Reference-Cited by-同舟云学术

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On optimality of the barrier strategy for a general Lévy risk process

Published:2011-05 Issue:9-10 Volume:53 Page:1700-1707
ISSN:0895-7177
Container-title:Mathematical and Computer Modelling
language:en
Short-container-title:Mathematical and Computer Modelling

Author:

Yuen Kam Chuen,Yin Chuancun

Funder

National Natural Science Foundation of China

Research Fund for the Doctoral Program of Higher Education of China

Publisher

Elsevier BV

Subject

Computer Science Applications,Modelling and Simulation

Reference26 articles.

1. Lévy Processes;Bertoin,1996

2. Introductory Lectures on Fluctuations of Lévy Processes with Applications, Universitext;Kyprianou,2006

3. Convexity and smoothness of scale functions with applications to De Finetti’s control problem;Kyprianou;Journal of Theoretical Probability,2010

4. Smoothness of scale functions for spectrally negative Lévy processes;Chan;Probability Theory and Related Fields,2010

5. Lévy Processes and Infinitely Divisible Distributions;Sato,1999

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2. A Lévy Risk Model with Ratcheting Dividend Strategy and Historic High-Related Stopping;Mathematical Problems in Engineering;2020-03-26

3. Estimating the Gerber–Shiu function in a Lévy risk model by Laguerre series expansion;Journal of Computational and Applied Mathematics;2019-01

4. Stochastic transitions in the Schlögl reaction model with nonextensive statistical noise and Gaussian white noise;International Journal of Modern Physics B;2018-12-20

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