5 citations · 6 across the 4 of their papers we have counts for
4 papers
Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches
Philipp Lukas Strietzel, Henriette Elisabeth Heinrich
We consider the optimal dividend problem in the so-called degenerate bivariate risk model under the assumption that the surplus of one branch may become negative. More specific, we…
Moments of the ruin time in a Lévy risk model
Philipp Lukas Strietzel, Anita Behme
We derive formulas for the moments of the ruin time in a Lévy risk model and use these to determine the asymptotic behavior of the moments of the ruin time as the initial capital t…
On moments of downward passage times for spectrally negative Lévy processes
Anita Behme, Philipp Lukas Strietzel
The existence of moments of first downward passage times of a spectrally negative Lévy process is governed by the general dynamics of the Lévy process, i.e. whether the Lévy proces…
A 22 random switching model and its dual risk model
Anita Behme, Philipp Lukas Strietzel
In this article a special case of an M/G/2-queue is considered, where the two servers are exposed to two types of jobs that are distributed among the servers via a random switch. I…