1 citations · 1 across the 8 of their papers we have counts for
10 papers
On De Finetti's control under Poisson observations: optimality of a double barrier strategy in a Markov additive model
Lijun Bo, Wenyuan Wang, Kaixin Yan
In this paper we consider the De Finetti's optimal dividend and capital injection problem under a Markov additive model. We assume that the surplus process before dividends and cap…
Risk Modelling on Liquidations with Lévy Processes
Aili Zhang, Ping Chen, Shuanming Li +1
It has been decades since the academic world of ruin theory defined the insolvency of an insurance company as the time when its surplus falls below zero. This simplification, howev…
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
Mi Chen, Kam Chuen Yuen, Wenyuan Wang
In this paper, we investigate the problem of optimal strategies of dividend and reinsurance under the Cramér-Lundberg risk model embedded with the thinning-dependence structure whi…
Parisian excursion with capital injection for draw-down reflected Levy insurance risk process
Budhi Surya, Wenyuan Wang, Xianghua Zhao +1
This paper discusses Parisian ruin problem with capital injection for Levy insurance risk process. Capital injection takes place at the draw-down time of the surplus process when i…
Optimal implementation delay of taxation with trade-off for Lévy risk Processes
Wenyuan Wang, Xueyuan Wu, Cheng Chi
In this paper we consider two problems on optimal implementation delay of taxation with trade-off for spectrally negative Lévy insurance risk processes. In the first case, we assum…
Generalized Expected Discounted Penalty Function at General Drawdown for Lévy Risk Processes
Wenyuan Wang, Ping Chen, Shuanming Li
This paper considers an insurance surplus process modeled by a spectrally negative Lévy process. Instead of the time of ruin in the traditional setting, we apply the time of drawdo…