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In this paper we study reflected and doubly reflected backward stochastic differential equations (BSDEs, for short) driven by Teugels martingales associated with Lévy process satisfying some moment conditions and by an independent Brownian motion. For BSDEs with one reflecting barrier, we obtain...
This paper considers a class of delayed renewal risk processes with a threshold dividend strategy. The main result is an expression of the Gerber-Shiu expected discounted penalty function in the delayed renewal risk model in terms of the corresponding Gerber-Shiu function in the ordinary renewal...
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