General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes
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Publication:2076351
DOI10.3934/jimo.2020179zbMath1499.60152OpenAlexW3116781093MaRDI QIDQ2076351
Publication date: 16 February 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020179
spectrally negative Lévy processde Finetti's dividend problemgeneral drawdown timeimpulse dividend strategy
Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10) Corporate finance (dividends, real options, etc.) (91G50)
Related Items
Dividend and capital injection optimization with transaction cost for Lévy risk processes ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ On a doubly reflected risk process with running maximum dependent reflecting barriers
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