1 citations · 2 across the 10 of their papers we have counts for
Showing 2020Show all
3 papers · 1 filter
q-fin.RM2020
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…
math.OC2020
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…
q-fin.MF2020
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…