An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density (Q3621149): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density	scientific article

Statements

instance of

scholarly article

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title

An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density (English)

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published in

Journal of Applied Probability

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publication date

14 April 2009

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zbMATH Keywords

Levy process

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stochastic control

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divident problem

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complete monotonicity

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author

Ronnie Loeffen

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1239/jap/1238592118

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cites work

A Lévy Insurance Risk Process with Tax

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Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options

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On the optimal dividend problem for a spectrally negative Lévy process

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OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL

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Smoothness of scale functions for spectrally negative Lévy processes

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The probability of ruin for the inverse Gaussian and related processes

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Q5624436

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Risk processes perturbed by α-stable Lévy motion

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Q5588331

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Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes

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Ruin probabilities and decompositions for general perturbed risk processes.

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Introductory lectures on fluctuations of Lévy processes with applications.

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Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

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Special, conjugate and complete scale functions for spectrally negative Lévy processes

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Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels

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On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes

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Risk vs. profit potential:

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Distribution of the Present Value of Dividend Payments in a Lévy Risk Model

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Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers

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Evaluating Scale Functions of Spectrally Negative Lévy Processes

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Dividend maximization under consideration of the time value of ruin

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Q3679784

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Identifiers

zbMATH Open document ID

1166.60051

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DOI

10.1239/jap/1238592118

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:3621149

@@ Property / cites work @@
+A Lévy Insurance Risk Process with Tax
@@ Property / cites work: A Lévy Insurance Risk Process with Tax / rank @@
+Normal rank
@@ Property / cites work @@
+Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
+Normal rank
@@ Property / cites work @@
+On the optimal dividend problem for a spectrally negative Lévy process
+Normal rank
@@ Property / cites work @@
+OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
+Normal rank
@@ Property / cites work @@
+Smoothness of scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+The probability of ruin for the inverse Gaussian and related processes
+Normal rank
@@ Property / cites work @@
+Q5624436
@@ Property / cites work: Q5624436 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk processes perturbed by α-stable Lévy motion
+Normal rank
@@ Property / cites work @@
+Q5588331
@@ Property / cites work: Q5588331 / rank @@
+Normal rank
@@ Property / cites work @@
+Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+Ruin probabilities and decompositions for general perturbed risk processes.
+Normal rank
@@ Property / cites work @@
+Introductory lectures on fluctuations of Lévy processes with applications.
+Normal rank
@@ Property / cites work @@
+Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
+Normal rank
@@ Property / cites work @@
+Special, conjugate and complete scale functions for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Principles of smooth and continuous fit in the determination of endogenous bankruptcy levels
+Normal rank
@@ Property / cites work @@
+On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+Risk vs. profit potential:
@@ Property / cites work: Risk vs. profit potential: / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
+Normal rank
@@ Property / cites work @@
+Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
+Normal rank
@@ Property / cites work @@
+Evaluating Scale Functions of Spectrally Negative Lévy Processes
+Normal rank
@@ Property / cites work @@
+Dividend maximization under consideration of the time value of ruin
+Normal rank
@@ Property / cites work @@
+Q3679784
@@ Property / cites work: Q3679784 / rank @@
+Normal rank