Renming Song

affiliation not provided to SSRN

SCHOLARLY PAPERS

3

DOWNLOADS

375

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Levy Risk Model with Two-Sided Jumps and a Barrier Dividend Strategy

Insurance: Mathematics and Economics, Vol. 50, No. 2, 2012
Number of pages: 28 Posted: 11 Sep 2011 Last Revised: 04 Feb 2014
Nanjing University - School of Management and Engineering, University of Science and Technology of China (USTC), affiliation not provided to SSRN, affiliation not provided to SSRN and Nankai University - Business School
Downloads 187 (298,592)

Abstract:

Loading...

Risk model, Barrier strategy, Levy process, Two-sided jump, Time of ruin, Deficit, Expected discounted dividend, Optimal dividend barrier, Integro-differential operator, Double exponential distribution, Reflected jump-diffusions, Laplace transform

2.

Monitoring Error of the Supremum of a Normal Jump Diffusion Process

Journal of Applied Probability, Forthcoming
Number of pages: 14 Posted: 13 Jul 2011
Ao Chen, Liming Feng and Renming Song
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Industrial and Enterprise Systems Engineering and affiliation not provided to SSRN
Downloads 110 (457,961)

Abstract:

Loading...

normal jump diffusion process, supremum, discrete monitoring, Spitzer's identity, Euler-Maclaurin formula, Riemann zeta function, Lerch transcendent

3.

Errata on 'Levy Risk Model with Two-Sided Jumps and a Barrier Dividend Strategy'

Insurance: Mathematics and Economics, 50(2): 280-291, 2012
Number of pages: 4 Posted: 03 Apr 2012
Nanjing University - School of Management and Engineering, University of Science and Technology of China (USTC), affiliation not provided to SSRN, University of International Business and Economics (UIBE) and Nankai University - Business School
Downloads 78 (571,447)

Abstract:

Loading...

Errata, Risk model, Barrier strategy, Levy process, Two-sided jump, Optimal dividend barrier, Double exponential distribution, Reflected jump-diffusions