Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes

DOI10.1007/s10255-013-0248-9zbMath1286.60043arXiv1101.0446OpenAlexW3103356778MaRDI QIDQ2439244

Ying Shen, Kam-Chuen Yuen, Chuan-Cun Yin

Publication date: 14 March 2014

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.0446

zbMATH Keywords

scale functionoptimal dividend problemcomplete monotonicitythreshold strategyspectrally negative Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20)

Related Items (7)

Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion ⋮ Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend ⋮ Optimal investment and reinsurance under the gamma process ⋮ Stochastic averaging principles for multi-valued stochastic differential equations driven by poisson point Processes ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income ⋮ ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LÉVY PROCESS

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