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Search: subject:"Excursion theory"
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capital injection
3
excursion theory
3
Lévy processes
2
Option pricing theory
2
Optionspreistheorie
2
Parisian ruin
2
Portfolio selection
2
Portfolio-Management
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Spectrally negative Lévy process
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Stochastischer Prozess
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dividends
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fluctuation theory
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scale functions
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60J35
1
Dividend
1
Dividende
1
Excursion theory
1
Primary: 60G51
1
Risikomodell
1
Risk model
1
Risk process
1
Secondary: 60E10
1
drawdown time
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potential measure
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reflected process
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Pérez, José-Luis
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Yamazaki, Kazutoshi
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Zhou, Xiaowen
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Budhi Arta Surya
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Li, Bo
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Wang, Wenyuan
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Insurance : mathematics and economics
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Risks : open access journal
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Scandinavian actuarial journal
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ECONIS (ZBW)
3
EconStor
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1
An excursion theoretic approach to Parisian ruin problem
Li, Bo
;
Zhou, Xiaowen
- In:
Insurance : mathematics and economics
118
(
2024
),
pp. 44-58
Persistent link: https://www.econbiz.de/10015066997
Saved in:
2
Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
Budhi Arta Surya
;
Wang, Wenyuan
;
Zhao, Xianghua
;
Zhou, …
- In:
Scandinavian actuarial journal
2023
(
2023
)
2
,
pp. 97-122
Persistent link: https://www.econbiz.de/10014325014
Saved in:
3
Mixed periodic-classical barrier strategies for Lévy risk processes
Pérez, José-Luis
;
Yamazaki, Kazutoshi
- In:
Risks
6
(
2018
)
2
,
pp. 1-39
with additional classical reflection above and/or below. Using scale functions and
excursion
theory
, various fluctuation …
Persistent link: https://www.econbiz.de/10011996591
Saved in:
4
Mixed periodic-classical barrier strategies for Lévy risk processes
Pérez, José-Luis
;
Yamazaki, Kazutoshi
- In:
Risks : open access journal
6
(
2018
)
2
,
pp. 1-39
with additional classical reflection above and/or below. Using scale functions and
excursion
theory
, various fluctuation …
Persistent link: https://www.econbiz.de/10011866334
Saved in:
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