2 papers
math.PR2025
Duals and inverse flows of generalized Ornstein-Uhlenbeck processes
Anita Behme, Henriette E. Heinrich, Alexander Lindner
We derive explicit representations for the (Siegmund) dual and the inverse flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the…
math.PR2022
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…