11 citations · 11 across the 3 of their papers we have counts for
3 papers
q-fin.CP2013
The first passage time problem for mixed-exponential jump processes with applications in insurance and finance
Chuancun Yin, Yuzhen Wen, Zhaojun Zong +1
This paper stidies the first passage times to constant boundaries for mixed-exponential jump diffusion processes. Explicit solutions of the Laplace transforms of the distribution o…
math.PR2011
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…
q-fin.PR2011★ 11 cited
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…