Linking dividends and capital injections – a probabilistic approach

DOI10.1080/03461238.2017.1300605zbMath1416.91146OpenAlexW2598629842MaRDI QIDQ4583603

Jevgenijs Ivanovs, Hansjoerg Albrecher

Publication date: 31 August 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/resource/serval:BIB_07D23478C41D.P001/REF.pdf

zbMATH Keywords

Lévy processestwo-sided reflectiondividend strategies

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (5)

A perturbation approach to optimal investment, liability ratio, and dividend strategies ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Dividends with tax and capital injection in a spectrally negative Lévy risk model ⋮ Unnamed Item ⋮ A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time

Cites Work

• On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
• On capital injections and dividends with tax in a classical risk model
• On the optimal dividend problem for a spectrally negative Lévy process
• Introductory lectures on fluctuations of Lévy processes with applications.
• Power identities for L\'evy risk models under taxation and capital injections
• A Note on the Dividends-Penalty Identity and the Optimal Dividend Barrier
• On capital injections and dividends with tax in a diffusion approximation
• Some Optimal Dividends Problems
• Applied Probability and Queues
• Potential measures of one-sided Markov additive processes with reflecting and terminating barriers

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