OPTIMAL PARISIAN-TYPE DIVIDEND PAYMENTS PENALIZED BY THE NUMBER OF CLAIMS FOR THE CLASSICAL AND PERTURBED CLASSICAL RISK PROCESS

Czarna, I; Li, YH; Zhao, CM; Palmowski, Z

Czarna, I (corresponding author), Wroclaw Univ Sci & Technol, Fac Pure & Appl Math, Wybrzeze Wyspianskiego 27, PL-50370 Wroclaw, Poland.

PROBABILITY AND MATHEMATICAL STATISTICS-POLAND, 2020; 40 (1): 57

Abstract

We consider the classical risk process (the case sigma = 0) and the classical risk process perturbed by a Brownian motion (the case sigma > 0). We ......

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