Optimal ratcheting dividend strategy with jump-diffusion risk process

DOI10.1080/03610926.2025.2552313MaRDI QIDQ6843912zbMATH OpenFDO

Authors Xiaoyan Ren, Ning Wang

Publication date 16 March 2026

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2025.2552313

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial mathematics (91G05) Optimal stochastic control (93E20)

Cites work

• Dividends: from refracting to ratcheting
• Fluctuations of Lévy processes with applications. Introductory lectures
• Old and new examples of scale functions for spectrally negative Lévy processes
• On the gain of collaboration in a two dimensional ruin problem
• On the time spent in the red by a refracted Lévy risk process
• Optimal dividend strategies of two collaborating businesses in the diffusion approximation model
• Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
• Optimal Ratcheting of Dividends in a Brownian Risk Model
• Optimal ratcheting of dividends in insurance
• Spectrally negative Lévy risk model under mixed ratcheting-periodic dividend strategies
• Stochastic Integration with Jumps
• The dual risk model under a mixed ratcheting and periodic dividend strategy
• The theory of scale functions for spectrally negative Lévy processes

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