7 citations · 11 across the 4 of their papers we have counts for
4 papers
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…
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…
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…
On the optimal dividend problem for a spectrally positive Levy process
Chuancun Yin, Yuzhen Wen, Yongxia Zhao
In this paper we study the optimal dividend problem for a company whose surplus process evolves as a spectrally positive Levy process. This model including the dual model of the cl…