42 citations · 43 across the 12 of their papers we have counts for
Showing q-fin.RMShow all
2 papers · 1 filter
q-fin.RM2014
Omega risk model with tax
Zhenyu Cui
In this paper we study the Omega risk model with surplus-dependent tax payments in a time-homogeneous diffusion setting. The new model incorporates practical features from both the…
q-fin.RM2013
Stochastic areas of diffusions and applications in risk theory
Zhenyu Cui
In this paper we study the stochastic area swept by a regular time-homogeneous diffusion till a stopping time. This unifies some recent literature in this area. Through stochastic…