A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes

DOI10.1016/j.insmatheco.2017.12.011zbMath1401.91147arXiv1608.02550OpenAlexW2963357320MaRDI QIDQ1742706

Camilo Hernández, Mauricio Junca, Harold A. Moreno-Franco

Publication date: 12 April 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.02550

zbMATH Keywords

optimal controlfluctuation theorydividend paymentruin time constraintspectrally one-sided Lévy processes

Mathematics Subject Classification ID

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

Related Items

Unnamed Item, Dividend and capital injection optimization with transaction cost for Lévy risk processes, Moment-constrained optimal dividends: precommitment and consistent planning, Time-inconsistent view on a dividend problem with penalty, TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems, Optimality of refraction strategies for a constrained dividend problem, Optimal dividend and capital injection strategy with a penalty payment at ruin: restricted dividend payments

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