This paper studies de Finetti's optimal dividend problem with capital injection. We confirm
the optimality of a double barrier strategy when the underlying risk model follows a Lévy …

In this paper, we consider a two-sided jumps risk model with proportional investments and
random observation periods. The downward jumps represent the claim while the upward …

In this paper, the Erlang (n) risk model with two-sided jumps and a constant dividend barrier
is considered. In the analysis of the expected discounted penalty function, the downward …

In this paper, we investigate a sequential maximum likelihood estimator of the unknown drift
parameter for a class of reflected generalized Ornstein–Uhlenbeck processes driven by …

We study first passage problems of a class of reflected generalized Ornstein–Uhlenbeck
processes without positive jumps. By establishing an extended Dynkin's formula associated …

We study the cost of shocks, that is, jump risk, with respect to reserve management when the
reserve process is formulated as a drift‐switching jump diffusion with a reflecting barrier at 0 …

The hypothesis that asset returns are normally distributed has been widely rejected. The
literature has shown that empirical asset returns are highly skewed and leptokurtic. The …

In the insurance literature, the Lundberg-Cramer model and Sparre-Anderson model have
been discussed to a great extent. A general assumption is that the premium rate is constant …

In this paper, the generalized Erlang (n) risk model with two-sided jumps and a constant
dividend barrier is considered. We assume that the downward jump sizes follow an arbitrary …

In this paper, we consider a risk model with two-sided jumps and proportional investment.
The upward jumps and downward jumps represent gains and claims, respectively. Suppose …