Avram, Florin; Grahovac, Danijel; Vardar-Acar, Ceren The \(W, Z\) scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems. (English) Zbl 07277663 ESAIM, Probab. Stat. 24, 454-525 (2020). MSC: 60G51 60G40 60J45 PDF BibTeX XML Cite \textit{F. Avram} et al., ESAIM, Probab. Stat. 24, 454--525 (2020; Zbl 07277663) Full Text: DOI
Bata, Katharina; Schmidli, Hanspeter Optimal capital injections and dividends with tax in a risk model in discrete time. (English) Zbl 1452.91260 Eur. Actuar. J. 10, No. 1, 235-259 (2020). MSC: 91G05 91B64 PDF BibTeX XML Cite \textit{K. Bata} and \textit{H. Schmidli}, Eur. Actuar. J. 10, No. 1, 235--259 (2020; Zbl 1452.91260) Full Text: DOI
Deng, Li; Zheng, Hua; Peng, Xiaofei The optimal dividend problem in dual model with capital injections by stochastic interest rates. (Chinese. English summary) Zbl 07267146 J. South China Norm. Univ., Nat. Sci. Ed. 52, No. 2, 107-113 (2020). MSC: 91G50 91G30 PDF BibTeX XML Cite \textit{L. Deng} et al., J. South China Norm. Univ., Nat. Sci. Ed. 52, No. 2, 107--113 (2020; Zbl 07267146) Full Text: DOI
Ramsden, Lewis; Papaioannou, Apostolos D. On the time to ruin for a dependent delayed capital injection risk model. (English) Zbl 1429.91091 Appl. Math. Comput. 352, 119-135 (2019). MSC: 91B05 45B05 60G40 91G05 PDF BibTeX XML Cite \textit{L. Ramsden} and \textit{A. D. Papaioannou}, Appl. Math. Comput. 352, 119--135 (2019; Zbl 1429.91091) Full Text: DOI
Nadtochiy, Sergey; Zariphopoulou, Thaleia Optimal contract for a fund manager with capital injections and endogenous trading constraints. (English) Zbl 1430.91087 SIAM J. Financ. Math. 10, No. 3, 698-722 (2019). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 91B41 91G80 60H15 PDF BibTeX XML Cite \textit{S. Nadtochiy} and \textit{T. Zariphopoulou}, SIAM J. Financ. Math. 10, No. 3, 698--722 (2019; Zbl 1430.91087) Full Text: DOI Link
Ramsden, Lewis; Papaioannou, Apostolos D. Ruin probabilities under capital constraints. (English) Zbl 1425.91232 Insur. Math. Econ. 88, 273-282 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{L. Ramsden} and \textit{A. D. Papaioannou}, Insur. Math. Econ. 88, 273--282 (2019; Zbl 1425.91232) Full Text: DOI
Ferrari, Giorgio; Schuhmann, Patrick An optimal dividend problem with capital injections over a finite horizon. (English) Zbl 1422.91344 SIAM J. Control Optim. 57, No. 4, 2686-2719 (2019). MSC: 91B30 93E20 60G40 PDF BibTeX XML Cite \textit{G. Ferrari} and \textit{P. Schuhmann}, SIAM J. Control Optim. 57, No. 4, 2686--2719 (2019; Zbl 1422.91344) Full Text: DOI Link arXiv
Antonello, Michele; Cipani, Luca; Runggaldier, Wolfgang J. Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model. (English) Zbl 1418.91227 Scand. Actuar. J. 2018, No. 10, 907-932 (2018). MSC: 91B30 90C39 PDF BibTeX XML Cite \textit{M. Antonello} et al., Scand. Actuar. J. 2018, No. 10, 907--932 (2018; Zbl 1418.91227) Full Text: DOI
Ben Salah, Zied; Garrido, José On fair reinsurance premiums; capital injections in a perturbed risk model. (English) Zbl 1416.91157 Insur. Math. Econ. 82, 11-20 (2018). MSC: 91B30 60G51 60K10 PDF BibTeX XML Cite \textit{Z. Ben Salah} and \textit{J. Garrido}, Insur. Math. Econ. 82, 11--20 (2018; Zbl 1416.91157) Full Text: DOI
Eisenberg, Julia; Krühner, Paul The impact of negative interest rates on optimal capital injections. (English) Zbl 1416.91172 Insur. Math. Econ. 82, 1-10 (2018). MSC: 91B30 93E20 49L20 91G30 PDF BibTeX XML Cite \textit{J. Eisenberg} and \textit{P. Krühner}, Insur. Math. Econ. 82, 1--10 (2018; Zbl 1416.91172) Full Text: DOI
Bulinskaya, Ekaterina; Gusak, Julia Insurance models under incomplete information. (English) Zbl 1397.62513 Pilz, Jürgen (ed.) et al., Statistics and simulation. Contributions given at the 8th international workshop on simulation, IWS 8, Vienna, Austria, September 21–25, 2015. Cham: Springer (ISBN 978-3-319-76034-6/hbk; 978-3-319-76035-3/ebook). Springer Proceedings in Mathematics & Statistics 231, 171-185 (2018). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{E. Bulinskaya} and \textit{J. Gusak}, in: Statistics and simulation. Contributions given at the 8th international workshop on simulation, IWS 8, Vienna, Austria, September 21--25, 2015. Cham: Springer. 171--185 (2018; Zbl 1397.62513) Full Text: DOI
Schmidli, H. Dividends with tax and capital injection in a spectrally negative Lévy risk model. (English) Zbl 1416.91219 Theory Probab. Math. Stat. 96, 177-189 (2018) and Teor. Jmovirn. Mat. Stat. 96, 171-183 (2016). MSC: 91B30 60G51 91B64 PDF BibTeX XML Cite \textit{H. Schmidli}, Theory Probab. Math. Stat. 96, 177--189 (2018; Zbl 1416.91219) Full Text: DOI
Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang On the compound Poisson risk model with periodic capital injections. (English) Zbl 1390.91220 ASTIN Bull. 48, No. 1, 435-477 (2018). MSC: 91B30 60K10 62P05 PDF BibTeX XML Cite \textit{Z. Zhang} et al., ASTIN Bull. 48, No. 1, 435--477 (2018; Zbl 1390.91220) Full Text: DOI
Avram, Florin; Pérez, José-Luis; Yamazaki, Kazutoshi Spectrally negative Lévy processes with Parisian reflection below and classical reflection above. (English) Zbl 1386.60168 Stochastic Processes Appl. 128, No. 1, 255-290 (2018). MSC: 60G51 91B30 PDF BibTeX XML Cite \textit{F. Avram} et al., Stochastic Processes Appl. 128, No. 1, 255--290 (2018; Zbl 1386.60168) Full Text: DOI
Schmidli, Hanspeter On capital injections and dividends with tax in a diffusion approximation. (English) Zbl 1402.91991 Scand. Actuar. J. 2017, No. 9, 751-760 (2017). MSC: 91G99 60J60 91B64 PDF BibTeX XML Cite \textit{H. Schmidli}, Scand. Actuar. J. 2017, No. 9, 751--760 (2017; Zbl 1402.91991) Full Text: DOI
Avram, Florin; Zhou, Xiaowen On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications. (English) Zbl 1382.60071 Theory Probab. Math. Stat. 95, 17-40 (2017) and Teor. Jmovirn. Mat. Stat. 95, 14-36 (2016). MSC: 60G51 60K30 60J75 PDF BibTeX XML Cite \textit{F. Avram} and \textit{X. Zhou}, Theory Probab. Math. Stat. 95, 17--40 (2017; Zbl 1382.60071) Full Text: DOI arXiv
Dickson, David C. M.; Qazvini, Marjan Gerber-Shiu analysis of a risk model with capital injections. (English) Zbl 1394.91209 Eur. Actuar. J. 6, No. 2, 409-440 (2016). MSC: 91B30 60K10 62P05 PDF BibTeX XML Cite \textit{D. C. M. Dickson} and \textit{M. Qazvini}, Eur. Actuar. J. 6, No. 2, 409--440 (2016; Zbl 1394.91209) Full Text: DOI
Schmidli, Hanspeter On capital injections and dividends with tax in a classical risk model. (English) Zbl 1371.91108 Insur. Math. Econ. 71, 138-144 (2016). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{H. Schmidli}, Insur. Math. Econ. 71, 138--144 (2016; Zbl 1371.91108) Full Text: DOI
Breuer, Lothar; Badescu, Andrei L. A generalised Gerber-Shiu measure for Markov-additive risk processes with phase-type claims and capital injections. (English) Zbl 1401.91103 Scand. Actuar. J. 2014, No. 2, 93-115 (2014). MSC: 91B30 60K10 60G55 60J65 PDF BibTeX XML Cite \textit{L. Breuer} and \textit{A. L. Badescu}, Scand. Actuar. J. 2014, No. 2, 93--115 (2014; Zbl 1401.91103) Full Text: DOI
Schmidli, Hanspeter A note on Gerber-Shiu functions with an application. (English) Zbl 1411.91315 Silvestrov, Dmitrii (ed.) et al., Modern problems in insurance mathematics. Selected papers based on the presentations at the international Cramér symposium on insurance mathematics, ICSIM, Stockholm, Sweden, June 11–14, 2013. Cham: Springer. EAA Series, 21-36 (2014). MSC: 91B30 60K10 44A10 PDF BibTeX XML Cite \textit{H. Schmidli}, in: Modern problems in insurance mathematics. Selected papers based on the presentations at the international Cramér symposium on insurance mathematics, ICSIM, Stockholm, Sweden, June 11--14, 2013. Cham: Springer. 21--36 (2014; Zbl 1411.91315) Full Text: DOI
Ben Salah, Zied On a generalization of the expected discounted penalty function to include deficits at and beyond ruin. (English) Zbl 1307.91094 Eur. Actuar. J. 4, No. 1, 219-246 (2014). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 91G50 60K10 60G51 62P05 PDF BibTeX XML Cite \textit{Z. Ben Salah}, Eur. Actuar. J. 4, No. 1, 219--246 (2014; Zbl 1307.91094) Full Text: DOI arXiv
Albrecher, Hansjörg; Ivanovs, Jevgenijs Power identities for Lévy risk models under taxation and capital injections. (English) Zbl 1300.60067 Stoch. Syst. 4, No. 1, 157-172 (2014). MSC: 60G51 91B30 PDF BibTeX XML Cite \textit{H. Albrecher} and \textit{J. Ivanovs}, Stoch. Syst. 4, No. 1, 157--172 (2014; Zbl 1300.60067) Full Text: DOI Euclid arXiv
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi On optimal dividends in the dual model. (English) Zbl 1283.91192 Astin Bull. 43, No. 3, 359-372 (2013). Reviewer: George Stoica (Saint John) MSC: 91G50 60G51 91B30 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., ASTIN Bull. 43, No. 3, 359--372 (2013; Zbl 1283.91192) Full Text: DOI arXiv
Wu, Yidong Optimal reinsurance and dividend strategies with capital injections in Cramér-Lundberg approximation model. (English) Zbl 1257.62098 Bull. Malays. Math. Sci. Soc. (2) 36, No. 1, 193-210 (2013). MSC: 62P05 93E20 60J70 91G70 91B30 PDF BibTeX XML Cite \textit{Y. Wu}, Bull. Malays. Math. Sci. Soc. (2) 36, No. 1, 193--210 (2013; Zbl 1257.62098) Full Text: Link
Wu, Yi-dong; Guo, Jun-yi Optimal dividend and dynamic reinsurance strategies with capital injections and proportional costs. (English) Zbl 1254.91283 Acta Math. Appl. Sin., Engl. Ser. 28, No. 3, 505-524 (2012). MSC: 91B30 60J75 PDF BibTeX XML Cite \textit{Y.-d. Wu} and \textit{J.-y. Guo}, Acta Math. Appl. Sin., Engl. Ser. 28, No. 3, 505--524 (2012; Zbl 1254.91283) Full Text: DOI
Eisenberg, Julia; Schmidli, Hanspeter Minimising expected discounted capital injections by reinsurance in a classical risk model. (English) Zbl 1277.60145 Scand. Actuar. J. 2011, No. 3, 155-176 (2011). MSC: 60K10 62P05 91B30 93E20 PDF BibTeX XML Cite \textit{J. Eisenberg} and \textit{H. Schmidli}, Scand. Actuar. J. 2011, No. 3, 155--176 (2011; Zbl 1277.60145) Full Text: DOI
Wu, Yidong; Guo, Junyi; Tang, Lian Optimal dividend strategies in discrete risk model with capital injections. (English) Zbl 1274.91476 Appl. Stoch. Models Bus. Ind. 27, No. 5, 557-566 (2011). MSC: 91G50 91G60 93E20 PDF BibTeX XML Cite \textit{Y. Wu} et al., Appl. Stoch. Models Bus. Ind. 27, No. 5, 557--566 (2011; Zbl 1274.91476) Full Text: DOI
Avanzi, Benjamin; Shen, Jonathan; Wong, Bernard Optimal dividends and capital injections in the dual model with diffusion. (English) Zbl 1242.91089 Astin Bull. 41, No. 2, 611-644 (2011). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91B30 97M30 91G80 PDF BibTeX XML Cite \textit{B. Avanzi} et al., ASTIN Bull. 41, No. 2, 611--644 (2011; Zbl 1242.91089) Full Text: DOI
Yao, Dingjun; Yang, Hailiang; Wang, Rongming Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs. (English) Zbl 1237.91143 Eur. J. Oper. Res. 211, No. 3, 568-576 (2011). MSC: 91B30 93E20 90C33 PDF BibTeX XML Cite \textit{D. Yao} et al., Eur. J. Oper. Res. 211, No. 3, 568--576 (2011; Zbl 1237.91143) Full Text: DOI
Scheer, Natalie; Schmidli, Hanspeter Optimal dividend strategies in a Cramér-Lundberg model with capital injections and administration costs. (English) Zbl 1222.91026 Eur. Actuar. J. 1, No. 1, 57-92 (2011). Reviewer: Pavel Stoynov (Sofia) MSC: 91B30 60H30 PDF BibTeX XML Cite \textit{N. Scheer} and \textit{H. Schmidli}, Eur. Actuar. J. 1, No. 1, 57--92 (2011; Zbl 1222.91026) Full Text: DOI
Dai, Hongshuai; Liu, Zaiming; Luan, Nana Optimal dividend strategies in a dual model with capital injections. (English) Zbl 1194.91188 Math. Methods Oper. Res. 72, No. 1, 129-143 (2010). MSC: 91G50 91B16 60H05 60H10 PDF BibTeX XML Cite \textit{H. Dai} et al., Math. Methods Oper. Res. 72, No. 1, 129--143 (2010; Zbl 1194.91188) Full Text: DOI