General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes

DOI10.1017/JPR.2018.33zbMath1396.91314OpenAlexW2884945743MaRDI QIDQ4684956

Wenyuan Wang, Xiao-Wen Zhou

Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2018.33

zbMATH Keywords

stochastic controlspectrally negative Lévy processdrawdown timede Finetti's optimal dividend problemHJB inequality

Mathematics Subject Classification ID

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

Related Items (20)

Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ Optimal implementation delay of taxation with trade-off for spectrally negative Lévy risk processes ⋮ Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes ⋮ General draw-down times for refracted spectrally negative Lévy processes ⋮ Optimal dividend strategy under Parisian ruin with affine penalty ⋮ Dividend and capital injection optimization with transaction cost for Lévy risk processes ⋮ Gerber-Shiu function at draw-down Parisian ruin time for the spectrally negative Lévy risk process ⋮ The Parisian and ultimate drawdowns of Lévy insurance models ⋮ On de Finetti's optimal impulse dividend control problem under Chapter 11 bankruptcy ⋮ Tax optimization with a terminal value for the Lévy risk processes ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ A drawdown reflected spectrally negative Lévy process ⋮ Risk modelling on liquidations with Lévy processes ⋮ Optimal loss-carry-forward taxation for Lévy risk processes stopped at general draw-down time ⋮ Generalized expected discounted penalty function at general drawdown for Lévy risk processes ⋮ Optimal reinsurance and dividends with transaction costs and taxes under thinning structure ⋮ General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes ⋮ A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time ⋮ Optimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costs ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
• On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
• An optimal dividends problem with transaction costs for spectrally negative Lévy processes
• De Finetti's optimal dividends problem with an affine penalty function at ruin
• Optimal dividends and capital injections in the dual model with a random time horizon
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• Dividend maximization under consideration of the time value of ruin
• A stopped Brownian motion formula
• Formulas for stopped diffusion processes with stopping times based on the maximum
• The Russian option: Reduced regret
• Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
• Optimal dividends in the dual model under transaction costs
• Optimal dividend problem with a terminal value for spectrally positive Lévy processes
• On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
• Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
• On taxed spectrally negative Lévy processes with draw-down stopping
• On the optimal dividend problem for a spectrally negative Lévy process
• Introductory lectures on fluctuations of Lévy processes with applications.
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
• Lévy Processes and Stochastic Calculus
• Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes
• ON OPTIMAL DIVIDENDS IN THE DUAL MODEL
• An Excursion-Theoretical Approach to Some Boundary Crossing Problems and the Skorokhod Embedding for Reflected Lévy Processes
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process

This page was built for publication: General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes