Renming Song

affiliation not provided to SSRN

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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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
Xuewei Yang, Lijun Bo, Renming Song, Dan Tang and Yongjin Wang
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 177 (270,408)

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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 101 (417,505)

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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
Xuewei Yang, Lijun Bo, Renming Song, Dan Tang and Yongjin Wang
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 71 (516,885)

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