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
Set profile property. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1110.4965 / rank | |||
Normal rank | |||
Revision as of 05:52, 19 April 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
27 July 2015
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
