On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (Q2354887)
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scientific article; zbMATH DE number 6464840
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| English | On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function |
scientific article; zbMATH DE number 6464840 |
Statements
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function (English)
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27 July 2015
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Lévy risk process
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stochastic control
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optimal dividend distribution
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Gerber-Shiu functions
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singular control
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impulse control
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state-constraint problem
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dynamic programming
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Hamilton-Jacobi-Bellman equation
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stochastic solution
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de Finetti model
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0.851691484451294
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0.8500118851661682
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0.8428415060043335
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0.8427844047546387
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0.8410500884056091
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