7 citations · 9 across the 17 of their papers we have counts for
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q-fin.CP2013
An extension of Paulsen-Gjessing's risk model with stochastic return on investments
Chuancun Yin, Yuzhen Wen
We consider in this paper a general two-sided jump-diffusion risk model that allows for risky investments as well as for correlation between the two Brownian motions driving insura…
q-fin.PR2013★ 7 cited
Optimal dividends problem with a terminal value for spectrally positive Levy processes
Chuancun Yin, Yuzhen Wen
In this paper we consider a modified version of the classical optimal dividends problem of de Finetti in which the dividend payments subject to a penalty at ruin. We assume that th…