5 citations · 7 across the 12 of their papers we have counts for
13 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…
Optimal dividend and capital injection under spectrally positive Markov additive models
Wenyuan Wang, Kaixin Yan, Xiang Yu
This paper studies De Finetti's optimal dividend problem with capital injection under spectrally positive Markov additive models. Based on dynamic programming principle, we first s…
On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy
Wenyuan Wang, Xiang Yu, Xiaowen Zhou
Motivated by recent developments in risk management based on the U.S. bankruptcy code, we revisit the De Finetti's optimal dividend problem by incorporating the reorganization proc…
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…
Draw-down Parisian ruin for spectrally negative Lévy process
Wenyuan Wang, Xiaowen Zhou
In this paper we study the draw-down related Parisian ruin problem for spectrally negative Lévy risk processes. We introduce the draw-down Parisian ruin time and solve the correspo…
Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time
Wenyuan Wang, Zhimin Zhang
Motivated by Kyprianou and Zhou (2009), Wang and Hu (2012), Avram et al. (2017), Li et al. (2017) and Wang and Zhou (2018), we consider in this paper the problem of maximizing the…
A draw-down reflected spectrally negative Lévy process
Wenyuan Wang, Xiaowen Zhou
In this paper we study a spectrally negative Lévy process that is reflected at its draw-down level whenever a draw-down time from the running supremum arrives. Using an excursion-t…
Dividend and Capital Injection Optimization with Transaction Cost for Spectrally Negative Lévy Risk Processes
Wenyuan Wang, Yuebao Wang, Xueyuan Wu
For an insurance company with reserve modeled by the spectrally negative Lévy process, we study the optimal impulse dividend maximizing the expected accumulated net dividend paymen…
Asymptotics of convolution with the semi-regular-variation tail and its application to risk
Zhaolei Cui, Edward Omey, Wenyuan Wang +1
In this paper, according to a certain criterion, we divide the exponential distribution class into three subclasses. One of them is closely related to the regular-variation-tailed…