57 citations · 115 across the 39 of their papers we have counts for
5 papers · 1 filter
Asymptotic results for tail probabilities of sums of dependent heavy-tailed random variables
Kam Chuen Yuen, Chuancun Yin
Let be a sequence of dependent heavy-tailed random variables with distributions on , and let be a nonnegative integer-valu…
On optimality of the barrier strategy for a general Levy risk process
Kam Chuen Yuen, Chuancun Yin
We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total di…
Convexity of ruin probability and optimal dividend strategies for a general Levy process
Chuancun Yin, Kam Chuen Yuen, Ying Shen
In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. T…
Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes
Ying Shen, Chuancun Yin, Kam Chuen Yuen
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid t…
Exact joint laws associated with spectrally negative Levy processes and applications to insurance risk theory
Chuancun Yin, Kam Chuen Yuen
We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and u…