Optimal dividends in the dual model under transaction costs

From MaRDI portal
Publication:2015482

DOI10.1016/j.insmatheco.2013.11.007zbMath1294.91071arXiv1301.7525OpenAlexW2069651886MaRDI QIDQ2015482

Kazutoshi Yamazaki, Andreas E. Kyprianou, Erhan Bayraktar

Publication date: 23 June 2014

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

Full work available at URL: https://arxiv.org/abs/1301.7525




Related Items (33)

Optimal dividends and capital injections for a spectrally positive Lévy processOptimal dividend-financing strategies in a dual risk model with time-inconsistent preferencesAsymptotic analysis for optimal dividends in a dual risk modelOn the bail-out optimal dividend problemDividend and capital injection optimization with transaction cost for Lévy risk processesREFRACTION–REFLECTION STRATEGIES IN THE DUAL MODELOptimal periodic dividend and capital injection problem for spectrally positive Lévy processesA perturbation approach to optimal investment, liability ratio, and dividend strategiesOn the optimality of periodic barrier strategies for a spectrally positive Lévy processOptimal dividends and capital injections in the dual model with a random time horizonOn the refracted-reflected spectrally negative Lévy processesStable dividends under linear-quadratic optimisationOptimality of Two-Parameter Strategies in Stochastic ControlOn optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcyOn the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processesOn optimal periodic dividend and capital injection strategies for spectrally negative Lévy modelsInventory Control for Spectrally Positive Lévy Demand ProcessesOptimal financing and dividend policy with Markovian switching regimesA time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processesOn optimal joint reflective and refractive dividend strategies in spectrally positive Lévy modelsOn the optimality of joint periodic and extraordinary dividend strategiesOn the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy ModelsOptimal dividend problem with a terminal value for spectrally positive Lévy processesOn the Parisian ruin of the dual Lévy risk modelGeneral drawdown-based de Finetti optimization for spectrally negative Lévy risk processesOn optimal periodic dividend strategies in the dual model with diffusionOPTIMAL CAPITAL STRUCTURE WITH SCALE EFFECTS UNDER SPECTRALLY NEGATIVE LÉVY MODELSOptimal dividends with an affine penaltyOptimal periodic dividend strategies for spectrally positive Lévy risk processes with fixed transaction costsRegression Monte Carlo for impulse controlOptimal periodic dividend strategies for spectrally negative Lévy processes with fixed transaction costsOptimality of doubly reflected Lévy processes in singular controlOptimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs




Cites Work




This page was built for publication: Optimal dividends in the dual model under transaction costs