Albrecher, Hansjörg; Cheung, Eric C. K.; Liu, Haibo; Woo, Jae-Kyung A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. (English) Zbl 07487260 Insur. Math. Econ. 103, 96-118 (2022). MSC: 91G05 45K05 PDF BibTeX XML Cite \textit{H. Albrecher} et al., Insur. Math. Econ. 103, 96--118 (2022; Zbl 07487260) Full Text: DOI OpenURL
Colaneri, Katia; Frey, Rüdiger Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds. (English) Zbl 1475.91353 Insur. Math. Econ. 101, 498-507 (2021). MSC: 91G20 60J74 45K05 PDF BibTeX XML Cite \textit{K. Colaneri} and \textit{R. Frey}, Insur. Math. Econ. 101, 498--507 (2021; Zbl 1475.91353) Full Text: DOI arXiv OpenURL
Dibu, A. S.; Jacob, M. J.; Papaioannou, Apostolos D.; Ramsden, Lewis Delayed capital injections for a risk process with Markovian arrivals. (English) Zbl 1476.60127 Methodol. Comput. Appl. Probab. 23, No. 3, 1057-1076 (2021). MSC: 60J25 91B05 45B05 PDF BibTeX XML Cite \textit{A. S. Dibu} et al., Methodol. Comput. Appl. Probab. 23, No. 3, 1057--1076 (2021; Zbl 1476.60127) Full Text: DOI OpenURL
Bosserhoff, Frank; Stadje, Mitja Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting. (English) Zbl 1479.91306 Insur. Math. Econ. 100, 130-146 (2021). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 91G10 45K05 49L12 PDF BibTeX XML Cite \textit{F. Bosserhoff} and \textit{M. Stadje}, Insur. Math. Econ. 100, 130--146 (2021; Zbl 1479.91306) Full Text: DOI arXiv OpenURL
Zhang, Lili The expected discounted penalty function in the generalized Erlang\((n)\) risk model with two-sided jumps and a constant dividend barrier. (English) Zbl 1461.91085 Bull. Iran. Math. Soc. 47, No. 2, 569-583 (2021). MSC: 91B05 60K25 60G40 62P05 60J74 45J05 PDF BibTeX XML Cite \textit{L. Zhang}, Bull. Iran. Math. Soc. 47, No. 2, 569--583 (2021; Zbl 1461.91085) Full Text: DOI OpenURL
Peng, Xuanhua; Su, Wen; Zhang, Zhimin On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy. (English) Zbl 1449.91107 J. Ind. Manag. Optim. 16, No. 4, 1967-1986 (2020). MSC: 91G05 60K10 60J74 45K05 PDF BibTeX XML Cite \textit{X. Peng} et al., J. Ind. Manag. Optim. 16, No. 4, 1967--1986 (2020; Zbl 1449.91107) Full Text: DOI OpenURL
Liu, Zhang; Chen, Ping; Hu, Yijun On the dual risk model with diffusion under a mixed dividend strategy. (English) Zbl 07197515 Appl. Math. Comput. 376, Article ID 125115, 19 p. (2020). MSC: 91G05 45K05 PDF BibTeX XML Cite \textit{Z. Liu} et al., Appl. Math. Comput. 376, Article ID 125115, 19 p. (2020; Zbl 07197515) Full Text: DOI OpenURL
Ma, Jingtang; Wang, Han Convergence rates of moving mesh methods for moving boundary partial integro-differential equations from regime-switching jump-diffusion Asian option pricing. (English) Zbl 1447.65029 J. Comput. Appl. Math. 370, Article ID 112598, 16 p. (2020). Reviewer: Srinivasan Natesan (Assam) MSC: 65M06 65M12 91G60 35R09 45K05 91G20 35R37 65M15 PDF BibTeX XML Cite \textit{J. Ma} and \textit{H. Wang}, J. Comput. Appl. Math. 370, Article ID 112598, 16 p. (2020; Zbl 1447.65029) Full Text: DOI OpenURL
Sendova, Kristina P.; Zhang, Ruixi Maximum surplus and \(R_n\) class of distributions with an application to dividends. (English) Zbl 1433.91145 J. Comput. Appl. Math. 369, Article ID 112568, 21 p. (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 60K10 45K05 PDF BibTeX XML Cite \textit{K. P. Sendova} and \textit{R. Zhang}, J. Comput. Appl. Math. 369, Article ID 112568, 21 p. (2020; Zbl 1433.91145) Full Text: DOI OpenURL
Zou, W.; Xie, J. H. A risk process with delayed claims and constant dividend barrier. (English) Zbl 1459.91170 Theory Probab. Appl. 64, No. 1, 103-123 (2019) and Teor. Veroyatn. Primen. 64, No. 1, 126-150 (2019). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 45J05 PDF BibTeX XML Cite \textit{W. Zou} and \textit{J. H. Xie}, Theory Probab. Appl. 64, No. 1, 103--123 (2019; Zbl 1459.91170) Full Text: DOI OpenURL
Li, Shuanming; Lu, Yi; Sendova, Kristina P. The expected discounted penalty function: from infinite time to finite time. (English) Zbl 1411.91303 Scand. Actuar. J. 2019, No. 4, 336-354 (2019). MSC: 91B30 35Q91 45K05 PDF BibTeX XML Cite \textit{S. Li} et al., Scand. Actuar. J. 2019, No. 4, 336--354 (2019; Zbl 1411.91303) Full Text: DOI OpenURL
Preischl, Michael; Thonhauser, Stefan; Tichy, Robert F. Integral equations, quasi-Monte Carlo methods and risk modeling. (English) Zbl 1405.65177 Dick, Josef (ed.) et al., Contemporary computational mathematics – a celebration of the 80th birthday of Ian Sloan. In 2 volumes. Cham: Springer (ISBN 978-3-319-72455-3/hbk; 978-3-319-72456-0/ebook). 1051-1074 (2018). MSC: 65R20 65C30 65C05 45B05 65C40 65D30 91B30 PDF BibTeX XML Cite \textit{M. Preischl} et al., in: Contemporary computational mathematics -- a celebration of the 80th birthday of Ian Sloan. In 2 volumes. Cham: Springer. 1051--1074 (2018; Zbl 1405.65177) Full Text: DOI arXiv OpenURL
Mallier, R.; Goard, J. Integral equation formulation for shout options. (English) Zbl 1416.91379 ANZIAM J. 60, No. 1, 65-85 (2018). MSC: 91G20 45A05 PDF BibTeX XML Cite \textit{R. Mallier} and \textit{J. Goard}, ANZIAM J. 60, No. 1, 65--85 (2018; Zbl 1416.91379) Full Text: DOI OpenURL
Zhang, Zhimin; Liu, Chaolin Moments of discounted dividend payments in a risk model with randomized dividend-decision times. (English) Zbl 1405.91269 Front. Math. China 12, No. 2, 493-513 (2017). MSC: 91B30 45K05 60J70 PDF BibTeX XML Cite \textit{Z. Zhang} and \textit{C. Liu}, Front. Math. China 12, No. 2, 493--513 (2017; Zbl 1405.91269) Full Text: DOI OpenURL
Dang, Duy-Minh; Nguyen, Duy; Sewell, Granville Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models. (English) Zbl 1443.65199 Comput. Math. Appl. 71, No. 1, 443-458 (2016). MSC: 65M60 45K05 91G20 91G60 PDF BibTeX XML Cite \textit{D.-M. Dang} et al., Comput. Math. Appl. 71, No. 1, 443--458 (2016; Zbl 1443.65199) Full Text: DOI OpenURL
Jiang, Wuyuan; Yang, Zhaojun The maximum surplus before ruin for dependent risk models through Farlie-Gumbel-Morgenstern copula. (English) Zbl 1401.91149 Scand. Actuar. J. 2016, No. 5, 385-397 (2016). MSC: 91B30 62E15 62P05 60K05 45J05 44A10 PDF BibTeX XML Cite \textit{W. Jiang} and \textit{Z. Yang}, Scand. Actuar. J. 2016, No. 5, 385--397 (2016; Zbl 1401.91149) Full Text: DOI OpenURL
Zhou, Zhongbao; Xiao, Helu; Deng, Yingchun Markov-dependent risk model with multi-layer dividend strategy. (English) Zbl 1338.91082 Appl. Math. Comput. 252, 273-286 (2015). MSC: 91B30 45J05 60K10 62M05 PDF BibTeX XML Cite \textit{Z. Zhou} et al., Appl. Math. Comput. 252, 273--286 (2015; Zbl 1338.91082) Full Text: DOI OpenURL
Willmot, Gordon E. On a partial integrodifferential equation of Seal’s type. (English) Zbl 1318.91124 Insur. Math. Econ. 62, 54-61 (2015). MSC: 91B30 35Q91 35R09 45K05 PDF BibTeX XML Cite \textit{G. E. Willmot}, Insur. Math. Econ. 62, 54--61 (2015; Zbl 1318.91124) Full Text: DOI OpenURL
Liu, Donghai; Liu, Zaiming; Peng, Dan The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier. (English) Zbl 1406.91201 Abstr. Appl. Anal. 2014, Article ID 730174, 7 p. (2014). MSC: 91B30 60K10 45J05 PDF BibTeX XML Cite \textit{D. Liu} et al., Abstr. Appl. Anal. 2014, Article ID 730174, 7 p. (2014; Zbl 1406.91201) Full Text: DOI OpenURL
Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon An insurance risk model with stochastic volatility. (English) Zbl 1231.91163 Insur. Math. Econ. 46, No. 1, 52-66 (2010). MSC: 91B30 91B70 45J05 60H30 PDF BibTeX XML Cite \textit{Y. Chi} et al., Insur. Math. Econ. 46, No. 1, 52--66 (2010; Zbl 1231.91163) Full Text: DOI OpenURL
Li, Bo; Wu, Rong A note on the perturbed compound Poisson risk model with a threshold dividend strategy. (English) Zbl 1187.62159 Acta Math. Appl. Sin., Engl. Ser. 25, No. 2, 205-216 (2009). Reviewer: Pavel Stoynov (Sofia) MSC: 62P05 60G99 60J99 45K05 60J75 PDF BibTeX XML Cite \textit{B. Li} and \textit{R. Wu}, Acta Math. Appl. Sin., Engl. Ser. 25, No. 2, 205--216 (2009; Zbl 1187.62159) Full Text: DOI OpenURL
Zhang, Zhimin; Li, Shuanming; Yang, Hu The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims. (English) Zbl 1232.91356 J. Comput. Appl. Math. 230, No. 2, 643-655 (2009). MSC: 91B30 60K10 45J05 PDF BibTeX XML Cite \textit{Z. Zhang} et al., J. Comput. Appl. Math. 230, No. 2, 643--655 (2009; Zbl 1232.91356) Full Text: DOI OpenURL
Yang, Hu; Zhang, Zhimin The perturbed compound Poisson risk model with multi-layer dividend strategy. (English) Zbl 1169.62358 Stat. Probab. Lett. 79, No. 1, 70-78 (2009). MSC: 62P05 91B30 60K10 45J05 PDF BibTeX XML Cite \textit{H. Yang} and \textit{Z. Zhang}, Stat. Probab. Lett. 79, No. 1, 70--78 (2009; Zbl 1169.62358) Full Text: DOI OpenURL
Gao, Heli; Yin, Chuancun The perturbed Sparre Andersen model with a threshold dividend strategy. (English) Zbl 1221.91030 J. Comput. Appl. Math. 220, No. 1-2, 394-408 (2008). Reviewer: Piotr Jaworski (Warszawa) MSC: 91B30 45K05 91G10 PDF BibTeX XML Cite \textit{H. Gao} and \textit{C. Yin}, J. Comput. Appl. Math. 220, No. 1--2, 394--408 (2008; Zbl 1221.91030) Full Text: DOI OpenURL
Cheung, Eric C. K. “Moments of the dividend payments and related problems in a Markov-modulated risk model”, Shaunming Li and Yi Lu, April 2007. (English) Zbl 1480.91194 N. Am. Actuar. J. 11, No. 4, 145-148 (2007). MSC: 91G05 45J05 PDF BibTeX XML Cite \textit{E. C. K. Cheung}, N. Am. Actuar. J. 11, No. 4, 145--148 (2007; Zbl 1480.91194) Full Text: DOI OpenURL
Lu, Yi; Tsai, Cary Chi-Liang The expected discounted penalty at ruin for a Markov-modulated risk process perturbed by diffusion. (English) Zbl 1480.91226 N. Am. Actuar. J. 11, No. 2, 136-149 (2007). MSC: 91G05 45J05 44A10 PDF BibTeX XML Cite \textit{Y. Lu} and \textit{C. C. L. Tsai}, N. Am. Actuar. J. 11, No. 2, 136--149 (2007; Zbl 1480.91226) Full Text: DOI OpenURL
Li, Shuanming; Lu, Yi Moments of the dividend payments and related problems in a Markov-modulated risk model. (English) Zbl 1480.91222 N. Am. Actuar. J. 11, No. 2, 65-76 (2007). MSC: 91G05 45J05 PDF BibTeX XML Cite \textit{S. Li} and \textit{Y. Lu}, N. Am. Actuar. J. 11, No. 2, 65--76 (2007; Zbl 1480.91222) Full Text: DOI OpenURL
Wan, Ning Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion. (English) Zbl 1183.91077 Insur. Math. Econ. 40, No. 3, 509-523 (2007). MSC: 91B30 45J05 60K05 60K10 PDF BibTeX XML Cite \textit{N. Wan}, Insur. Math. Econ. 40, No. 3, 509--523 (2007; Zbl 1183.91077) Full Text: DOI OpenURL
Yuen, Kam C.; Wang, Guojing; Li, Wai K. The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. (English) Zbl 1273.91456 Insur. Math. Econ. 40, No. 1, 104-112 (2007). MSC: 91G50 91B30 45J05 PDF BibTeX XML Cite \textit{K. C. Yuen} et al., Insur. Math. Econ. 40, No. 1, 104--112 (2007; Zbl 1273.91456) Full Text: DOI OpenURL
Cai, Jun; Xu, Chengming Authors’ reply to: “Discussion to: ‘On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion”. (English) Zbl 1479.91311 N. Am. Actuar. J. 10, No. 2, 129-131 (2006). MSC: 91G05 60J65 60J74 45J05 PDF BibTeX XML Cite \textit{J. Cai} and \textit{C. Xu}, N. Am. Actuar. J. 10, No. 2, 129--131 (2006; Zbl 1479.91311) Full Text: DOI OpenURL
Xing, Yongsheng; Wu, Rong Moments of the time of ruin, surplus before ruin and the deficit at ruin in the Erlang(N) risk process. (English) Zbl 1261.62092 Acta Math. Appl. Sin., Engl. Ser. 22, No. 4, 599-606 (2006). MSC: 62P05 45J99 PDF BibTeX XML Cite \textit{Y. Xing} and \textit{R. Wu}, Acta Math. Appl. Sin., Engl. Ser. 22, No. 4, 599--606 (2006; Zbl 1261.62092) Full Text: DOI OpenURL
Li, Shuanming; Garrido, José Ruin probabilities for two classes of risk processes. (English) Zbl 1098.62139 Astin Bull. 35, No. 1, 61-77 (2005). MSC: 62P05 91B30 45K05 PDF BibTeX XML Cite \textit{S. Li} and \textit{J. Garrido}, ASTIN Bull. 35, No. 1, 61--77 (2005; Zbl 1098.62139) Full Text: DOI OpenURL
Li, Shuanming; Lu, Yi On the expected discounted penalty functions for two classes of risk processes. (English) Zbl 1122.91040 Insur. Math. Econ. 36, No. 2, 179-193 (2005). MSC: 91B30 45J05 60G55 65C20 PDF BibTeX XML Cite \textit{S. Li} and \textit{Y. Lu}, Insur. Math. Econ. 36, No. 2, 179--193 (2005; Zbl 1122.91040) Full Text: DOI OpenURL
Dai, Min; Kwok, Yue Kuen; Wu, Lixin Optimal shouting policies of options with strike reset right. (English) Zbl 1134.91407 Math. Finance 14, No. 3, 383-401 (2004). MSC: 91B28 45L05 60G40 65R20 PDF BibTeX XML Cite \textit{M. Dai} et al., Math. Finance 14, No. 3, 383--401 (2004; Zbl 1134.91407) Full Text: DOI OpenURL
Cai, Jun; Dickson, David C. M. On the expected discounted penalty function at ruin of a surplus process with interest. (English) Zbl 1074.91027 Insur. Math. Econ. 30, No. 3, 389-404 (2002). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 44A10 45D05 91B70 PDF BibTeX XML Cite \textit{J. Cai} and \textit{D. C. M. Dickson}, Insur. Math. Econ. 30, No. 3, 389--404 (2002; Zbl 1074.91027) Full Text: DOI OpenURL