Complete discounted cash flow valuation
From MaRDI portal
Publication:1681180
DOI10.1016/j.insmatheco.2016.12.004zbMath1416.91395OpenAlexW2564614086MaRDI QIDQ1681180
Publication date: 23 November 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.12.004
real optionsruin theorySolvency IIspectrally negative Lévy processdividend problemDCF valuationmixed stochastic control
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50)
Related Items (6)
Gambler's ruin problem in a Markov-modulated jump-diffusion risk model ⋮ Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects ⋮ Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model ⋮ Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ Optimal dividends and capital injection under dividend restrictions ⋮ q-scale function, Banach contraction principle, and ultimate ruin probability in a Markov-modulated jump–diffusion risk model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- 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
- Smoothness of scale functions for spectrally negative Lévy processes
- Optimal dividend and issuance of equity policies in the presence of proportional costs
- On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
- Optimal dividend strategies in a Cramér-Lundberg model with capital injections
- Exact and approximate properties of the distribution of surplus before and after ruin
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- On exit and ergodicity of the spectrally one-sided Lévy process reflected at its infimum
- Completely asymmetric Lévy processes confined in a finite interval
- On the optimal dividend problem for a spectrally negative Lévy process
- Introductory lectures on fluctuations of Lévy processes with applications.
- Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
- Monotonicity properties and the deficit at ruin in the Sparre Andersen model
- 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
- Séminaire de Probabilités XXXVIII
- On the distribution of the duration of negative surplus
- On Optimal Dividend Strategies In The Compound Poisson Model
- Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
- Optimal Dividends
- Credit risk: Modelling, valuation and hedging
This page was built for publication: Complete discounted cash flow valuation