| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076959 | Insurance: Mathematics and Economics | 2012 | 12 Pages |
Abstract
⺠We consider Levy risk model with two-sided jumps and a constant dividend barrier. ⺠We connect ruin problems with first passage problems of reflected Levy process. ⺠We derive explicit expressions for the ruin-related quantities. ⺠The optimal dividend barrier depends on the initial surplus.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Lijun Bo, Renming Song, Dan Tang, Yongjin Wang, Xuewei Yang,