On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (Q2354887): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Optimal dividend strategies for a risk process under force of interest / rank
 
Normal rank
Property / cites work
 
Property / cites work: A class of solvable stochastic dividend optimization problems: on the general impact of flexibility on valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Viscosity solutions of nonlinear integro-differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3108752 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the optimal dividend problem for a spectrally negative Lévy process / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4888858 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on scale functions and the time value of ruin for Lévy insurance risk processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the expectation of total discounted operating costs up to default and its applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Optimal Dividends Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4032143 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5588331 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Games of Economic Survival with Discrete- and Continuous-Income Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3868650 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier / rank
 
Normal rank
Property / cites work
 
Property / cites work: Band strategies: The random walk of reserves / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal dividend strategies in a Cramér-Lundberg model with capital injections / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Theory of Scale Functions for Spectrally Negative Lévy Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Introductory lectures on fluctuations of Lévy processes with applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convexity and smoothness of scale functions and de Finetti's control problem / rank
 
Normal rank
Property / cites work
 
Property / cites work: On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: An optimal dividends problem with transaction costs for spectrally negative Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: De Finetti's optimal dividends problem with an affine penalty function at ruin / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4114574 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4662396 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3378055 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5434181 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Control with State-Space Constraint I / rank
 
Normal rank
Property / cites work
 
Property / cites work: On degenerate elliptic-parabolic operators of second order and their associated diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dividend maximization under consideration of the time value of ruin / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Dividend Strategies for a Compound Poisson Process Under Transaction Costs and Power Utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal dividend payout under compound Poisson income / rank
 
Normal rank

Latest revision as of 14:09, 10 July 2024

scientific article
Language Label Description Also known as
English
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
scientific article

    Statements

    On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    27 July 2015
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    Lévy risk process
    0 references
    stochastic control
    0 references
    optimal dividend distribution
    0 references
    Gerber-Shiu functions
    0 references
    singular control
    0 references
    impulse control
    0 references
    state-constraint problem
    0 references
    dynamic programming
    0 references
    Hamilton-Jacobi-Bellman equation
    0 references
    stochastic solution
    0 references
    de Finetti model
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references