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

Insurance: Mathematics and Economics, 50(2): 280-291, 2012

4 Pages Posted: 3 Apr 2012

See all articles by Xuewei Yang

Xuewei Yang

Nanjing University - School of Management and Engineering; Nanjing University - Institute of New Finance

Lijun Bo

University of Science and Technology of China (USTC)

Renming Song

affiliation not provided to SSRN

Dan Tang

University of International Business and Economics (UIBE)

Yongjin Wang

Nankai University - Business School

Date Written: February 6, 2012

Abstract

In this note, we point out some errors in Section 3 of our earlier paper “Levy risk model with two-sided jumps and a barrier dividend strategy” published in Insurance: Mathematics and Economics, 50(2): 280-291, 2012. Specifically, we find that the optimal barrier does not depend on initial surplus.

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

JEL Classification: G22, G33

Suggested Citation

Yang, Xuewei and Bo, Lijun and Song, Renming and Tang, Dan and Wang, Yongjin, Errata on 'Levy Risk Model with Two-Sided Jumps and a Barrier Dividend Strategy' (February 6, 2012). Insurance: Mathematics and Economics, 50(2): 280-291, 2012, Available at SSRN: https://ssrn.com/abstract=2033767

Xuewei Yang (Contact Author)

Nanjing University - School of Management and Engineering ( email )

22 Hankou Road, Gulou District
Nanjing, Jiangsu 210093
China

Nanjing University - Institute of New Finance ( email )

Nanjing, Jiangsu 210093
China

Lijun Bo

University of Science and Technology of China (USTC) ( email )

96, Jinzhai Road
Hefei, Anhui 230026
China

Renming Song

affiliation not provided to SSRN ( email )

Dan Tang

University of International Business and Economics (UIBE) ( email )

10, Huixin Dongjie
Changyang District
Beijing, Beijing 100029
China

Yongjin Wang

Nankai University - Business School ( email )

94 Weijin Road, Nankai District
Tianjin, 300071
China

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
79
Abstract Views
594
Rank
571,040
PlumX Metrics